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This paper considers an alternative method for fitting CARR models using combined estimating functions (CEF) by showing its usefulness in applications in economics and quantitative finance. The associated information matrix for corresponding new esti
Externí odkaz:
http://arxiv.org/abs/1702.02268
Autor:
Kuen Chan, Jennifer So1 jchan@maths.usyd.edu.au, Kok-Haur Ng2, Nitithumbundit, Thanakorn1, Peiris, Shelton1
Publikováno v:
Studies in Nonlinear Dynamics & Econometrics. Apr2019, Vol. 23 Issue 2, p1-22. 22p.
