Stock Index Volatility: the case of IPSA
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- Parkinson, Michael, 1980. "The Extreme Value Method for Estimating the Variance of the Rate of Return," The Journal of Business, University of Chicago Press, vol. 53(1), pages 61-65, January.
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- Rodrigo A. Alfaro & Carmen Gloria Silva, 2008. "Volatilidad de Indices Accionarios: El caso del IPSA," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 45(132), pages 217-233.
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Cited by:
- Daniel Oda, 2013. "Introducing Liquidity Risk in the Contingent-Claim Analysis for the Banks," Working Papers Central Bank of Chile 681, Central Bank of Chile.
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More about this item
Keywords
Volatility; Binomial Model; VIX; Bias and Efficiency.;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FMK-2010-10-23 (Financial Markets)
- NEP-MST-2010-10-23 (Market Microstructure)
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