Measuring volatility with the realized range
From MaRDI portal
Publication:277164
DOI10.1016/j.jeconom.2006.05.019zbMath1418.62515MaRDI QIDQ277164
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
high-frequency data; market microstructure noise; realized volatility; bias-correction; high-low range
62P20: Applications of statistics to economics
62P05: Applications of statistics to actuarial sciences and financial mathematics
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Cites Work
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- 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
