{"id":13206,"date":"2020-08-05T10:02:24","date_gmt":"2020-08-05T10:02:24","guid":{"rendered":"https:\/\/krea.edu.in\/blog\/?p=13206"},"modified":"2020-08-05T14:34:23","modified_gmt":"2020-08-05T14:34:23","slug":"a-new-unbiased-robust-volatility-estimator-based-on-extreme-values-of-asset-prices","status":"publish","type":"post","link":"https:\/\/krea.edu.in\/blog\/a-new-unbiased-robust-volatility-estimator-based-on-extreme-values-of-asset-prices\/","title":{"rendered":"A new unbiased robust volatility estimator based on extreme values of asset prices"},"content":{"rendered":"\n<p>Krea academician, Prof Muneer Shaik from IFMR GSB along with Prof S Maheswaran recently published an article in the official publication of the Swiss Financial Analysts Association, Financial Markets and Portfolio Management (FMPM). Their <a href=\"https:\/\/link.springer.com\/article\/10.1007\/s11408-020-00355-3\">paper<\/a> proposes a new unbiased robust volatility estimator based on extreme values of asset prices. The paper shows that the proposed Add Extreme Value Robust Volatility Estimator (AEVRVE) is unbiased and is 2\u20133 times more efficient relative to the Classical Robust Volatility Estimator (CRVE). <\/p>\n","protected":false},"excerpt":{"rendered":"<p>Krea academician, Prof Muneer Shaik from IFMR GSB along with Prof S Maheswaran recently published an article in the official publication of the Swiss Financial Analysts Association, Financial Markets and Portfolio Management (FMPM), proposing a new unbiased robust volatility estimator based on extreme values of asset prices. <\/p>\n","protected":false},"author":1,"featured_media":13210,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[79],"tags":[],"class_list":["post-13206","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-spotlight"],"aioseo_notices":[],"_links":{"self":[{"href":"https:\/\/krea.edu.in\/blog\/wp-json\/wp\/v2\/posts\/13206","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/krea.edu.in\/blog\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/krea.edu.in\/blog\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/krea.edu.in\/blog\/wp-json\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/krea.edu.in\/blog\/wp-json\/wp\/v2\/comments?post=13206"}],"version-history":[{"count":3,"href":"https:\/\/krea.edu.in\/blog\/wp-json\/wp\/v2\/posts\/13206\/revisions"}],"predecessor-version":[{"id":13281,"href":"https:\/\/krea.edu.in\/blog\/wp-json\/wp\/v2\/posts\/13206\/revisions\/13281"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/krea.edu.in\/blog\/wp-json\/wp\/v2\/media\/13210"}],"wp:attachment":[{"href":"https:\/\/krea.edu.in\/blog\/wp-json\/wp\/v2\/media?parent=13206"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/krea.edu.in\/blog\/wp-json\/wp\/v2\/categories?post=13206"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/krea.edu.in\/blog\/wp-json\/wp\/v2\/tags?post=13206"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}