Measuring volatility with the realized range

DOI10.1016/j.jeconom.2006.05.019zbMath1418.62515OpenAlexW2133491221MaRDI QIDQ277164

Martin Martens, Dick van Dijk

Publication date: 4 May 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2006.05.019

zbMATH Keywords

high-frequency datamarket microstructure noiserealized volatilitybias-correctionhigh-low range

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites Work

• Realized range-based estimation of integrated variance
• Consistent ranking of volatility models
• Volatility forecast comparison using imperfect volatility proxies
• Estimating variance from high, low and closing prices
• Microstructure Noise, Realized Variance, and Optimal Sampling
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
• Continuous Record Asymptotics for Rolling Sample Variance Estimators
• The Distribution of Realized Exchange Rate Volatility
• Modeling and Forecasting Realized Volatility
• A Tale of Two Time Scales

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