Publications - Extreme Value Volatility Estimators and their Empirical Performance in Indian Capital Markets Back

Title Extreme Value Volatility Estimators and their Empirical Performance in Indian Capital Markets
Authors Pandey, Ajay
Publication Date 01-Jan-2002
Year 2002
Abstract The objective of this project is to test the empirical performance of various extreme value volatility estimators and compare their performance with traditional unconditional volatility estimators. The realized volatility is used as benchmark against which the performance of various estimators was tested. The scope of the study includes the performance of estimators on liquid and relatively illiquid assets and portfolios (index).