Measuring volatility with the realized range
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Cites work
- A Tale of Two Time Scales
- Consistent ranking of volatility models
- Continuous Record Asymptotics for Rolling Sample Variance Estimators
- Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
- Estimating variance from high, low and closing prices
- Microstructure Noise, Realized Variance, and Optimal Sampling
- Modeling and Forecasting Realized Volatility
- Realized range-based estimation of integrated variance
- The Distribution of Realized Exchange Rate Volatility
- Volatility forecast comparison using imperfect volatility proxies
Cited in
(41)- Realized Volatility: A Review
- Volatility estimation based on high-frequency data
- Volatility forecast comparison using imperfect volatility proxies
- Using information quality for volatility model combinations
- Semi-parametric Bayesian tail risk forecasting incorporating realized measures of volatility
- Realized Volatility
- Forecast the realized range-based volatility: the role of investor sentiment and regime switching
- Zero-intelligence realized variance estimation.
- Realized range-based estimation of integrated variance
- Extended stochastic volatility models incorporating realised measures
- Long-run comovements in East Asian stock market volatility
- Horizon effect in the term structure of long-run risk-return trade-offs
- Modelling and forecasting stock volatility and return: a new approach based on quantile Rogers-Satchell volatility measure with asymmetric bilinear CARR model
- Forecasting time series with multivariate copulas
- Heterogenous market hypothesis evaluation using multipower variation volatility
- Bias-correcting the realized range-based variance in the presence of market microstructure noise
- Volatility estimation and jump testing via realized information variation
- Asymptotic properties of the QMLE in a log-linear RealGARCH model with Gaussian errors
- Volatility contagion: a range-based volatility approach
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- Improving forecasts with the co-range dynamic conditional correlation model
- On the estimation of integrated volatility in the presence of jumps and microstructure noise
- Bias correction in the realized stochastic volatility model for daily volatility on the Tokyo stock exchange
- Realized kernels in practise : trades and quotes
- Testing for structural change in time-varying nonparametric regression models
- Discrete sine transform for multi-scale realized volatility measures
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- Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes
- Data-based ranking of realised volatility estimators
- Review of statistical approaches for modeling high-frequency trading data
- A semi-parametric conditional autoregressive joint value-at-risk and expected shortfall modeling framework incorporating realized measures
- A simple R-estimation method for semiparametric duration models
- Nonlinear high-frequency stock market time series: modeling and combine forecast evaluations
- Uncertainty shocks of Trump election in an interval model of stock market
- Three-point approach for estimating integrated volatility and integrated covariance
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