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A new unbiased additive robust volatility estimation using extreme values of asset prices |
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| Authors: | Shaik Muneer Maheswaran S |
| Institution: | 1.Institute for Financial Management and Research, Chennai, 600034, India ;2.IFMR Graduate School of Business, Krea University, Sri City, 517646, India ; |
| Abstract: | Financial Markets and Portfolio Management - We propose a new unbiased robust volatility estimator based on extreme values of asset prices. We show that the proposed Add Extreme Value Robust... |
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