Forecasting Financial Volatilities with Extreme Values: The Conditional Autoregressive Range (CARR) Model
By R. Chou. 2005
383 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/ea019fd8e9dced32124270fb78003b7e2f8beb84
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Fotios Petropoulos
- Konstantinos Nikolopoulos
- Rob J Hyndman
- Nikolaos Kourentzes
- Vassilios Assimakopoulos
- Evangelos Spiliotis
- Spyros Makridakis
- Giampiero M. Gallo
In Finance
- Giampiero M. Gallo
- Nathan Liu
- Chunchou Wu
- R. Chou
- Robert F. Engle
- Fabrizio Cipollini
- Philip Hans Franses
- David F. Hendry
Citations in the corpus
- Forecasting time-varying covariance with a range-based dynamic conditional correlation model (2009, methodology): “Where ,t i λ denotes the conditional standard deviation as computed from a scaled expected range, using the CARR model of Chou (2005).”
- Properties of Range-Based Volatility Estimators (2012, neutral): “However, recently the literature using the range-based volatility estimators started to grow (e.g. Alizadeh, Brandt and Diebold (2002), Brandt and Diebold (2006), Brandt and Jones (2006), Chou (2005), Chou (2006), Chou, Liu (2010)).”
- Comparison of Volatility Measures: A Risk Management Perspective (2010, neutral): “Alizadeh, Brandt & Diebold (2002), Chou (2005), Brandt & Jones (2006), Engle & Gallo (2006), Ghysels et al.”
- A Multiple Indicators Model for Volatility Using Intra-Daily Data (2003, methodology): “Such a specification was adopted in Engle and Russell (1998) for durations, Manganelli (2002) for volume transaction data and Chou (2001) for high–low range.”
- Glossary to ARCH (GARCH) (2008, neutral): “CARR (Conditional AutoRegressive Range) The CARR(p,q) model proposed by Chou (2005) postulates a GARCH(p,q) structure (see GARCH) for the dynamic dependencies in time series of high-low asset prices over some fixed time interval.”
- Vector Multiplicative Error Models: Representation and Inference (2006, background): “Chou (2005) ; Manganelli (2002)) show a good performance of these types of models in capturing the stylized facts of the observed series.”
- Forecasting: theory and practice (2020, methodology): “ity of financial returns from the univariate RB models are more accurate than the forecasts from standard GARCH models based on closing prices (see, for example, Mapa, 2003 for the GARCH-PARK-R model; Chou, 2005 for the CARR model; Fiszeder, 2005 for the GARCH-TR model; Brandt and Jones, 2006 for the”