Measuring volatility with the realized range (Q277164): Difference between revisions

@@ Property / Mathematics Subject Classification ID @@
+P20
@@ Property / Mathematics Subject Classification ID: 62P20 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+P05
@@ Property / Mathematics Subject Classification ID: 62P05 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+6577509
@@ Property / zbMATH DE Number: 6577509 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+realized volatility
@@ Property / zbMATH Keywords: realized volatility / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+high-low range
@@ Property / zbMATH Keywords: high-low range / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+high-frequency data
@@ Property / zbMATH Keywords: high-frequency data / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+market microstructure noise
@@ Property / zbMATH Keywords: market microstructure noise / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+bias-correction
@@ Property / zbMATH Keywords: bias-correction / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.jeconom.2006.05.019
+Normal rank
@@ Property / OpenAlex ID @@
+W2133491221
@@ Property / OpenAlex ID: W2133491221 / rank @@
+Normal rank
@@ Property / cites work @@
+The Distribution of Realized Exchange Rate Volatility
+Normal rank
@@ Property / cites work @@
+Modeling and Forecasting Realized Volatility
@@ Property / cites work: Modeling and Forecasting Realized Volatility / rank @@
+Normal rank
@@ Property / cites work @@
+Microstructure Noise, Realized Variance, and Optimal Sampling
+Normal rank
@@ Property / cites work @@
+Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
+Normal rank
@@ Property / cites work @@
+Realized range-based estimation of integrated variance
+Normal rank
@@ Property / cites work @@
+Continuous Record Asymptotics for Rolling Sample Variance Estimators
+Normal rank
@@ Property / cites work @@
+Consistent ranking of volatility models
@@ Property / cites work: Consistent ranking of volatility models / rank @@
+Normal rank
@@ Property / cites work @@
+Volatility forecast comparison using imperfect volatility proxies
+Normal rank
@@ Property / cites work @@
+Estimating variance from high, low and closing prices
+Normal rank
@@ Property / cites work @@
+A Tale of Two Time Scales
@@ Property / cites work: A Tale of Two Time Scales / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:277164