Entropy of Volatility Changes: Novel Method for Assessment of Regularity in Volatility Time Series
The goal of this research is to introduce and thoroughly investigate a new methodology for the assessment of sequential regularity in volatility time series. Three volatility estimators based on daily range data are analyzed: (1) the Parkinson estimator, (2) the Garman–Klass estimator, and (3) the R...
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| Main Author: | |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2025-03-01
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| Series: | Entropy |
| Subjects: | |
| Online Access: | https://www.mdpi.com/1099-4300/27/3/318 |
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