Volatility behavior of asset returns based on robust volatility ratio: Empirical analysis on global stock indices
In this paper, we come up with an alternate theoretical proof for the independence and unbiased property of extreme value robust volatility estimator with respect to the standard robust volatility estimator. We show that the robust volatility ratio is unbiased both in the population and in the finit...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Taylor & Francis Group
2019-01-01
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| Series: | Cogent Economics & Finance |
| Subjects: | |
| Online Access: | http://dx.doi.org/10.1080/23322039.2019.1597430 |