Measuring volatility with the realized range (Q277164): Difference between revisions
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 62P20 / rank | |||
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| Property / Mathematics Subject Classification ID: 62P05 / rank | |||
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| Property / zbMATH DE Number | |||
| Property / zbMATH DE Number: 6577509 / rank | |||
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realized volatility | |||
| Property / zbMATH Keywords: realized volatility / rank | |||
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high-low range | |||
| Property / zbMATH Keywords: high-low range / rank | |||
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high-frequency data | |||
| Property / zbMATH Keywords: high-frequency data / rank | |||
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market microstructure noise | |||
| Property / zbMATH Keywords: market microstructure noise / rank | |||
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bias-correction | |||
| Property / zbMATH Keywords: bias-correction / rank | |||
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Revision as of 16:46, 27 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Measuring volatility with the realized range |
scientific article |
Statements
Measuring volatility with the realized range (English)
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4 May 2016
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realized volatility
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high-low range
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high-frequency data
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market microstructure noise
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bias-correction
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