Forecasting energy futures volatility based on the unbiased extreme value volatility estimator
This paper uses the opening, high, low, and closing prices of five energy futures to estimate and model volatility based on the unbiased extreme value volatility estimator (the Add RS estimator). The statistical and distributional properties of the logarithm of the Add RS estimator support the use o...
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| Format: | Article |
| Language: | English |
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Elsevier
2017-12-01
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| Series: | IIMB Management Review |
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| Online Access: | http://www.sciencedirect.com/science/article/pii/S0970389617305372 |