Measuring volatility with the realized range
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Publication:277164
DOI10.1016/J.JECONOM.2006.05.019zbMath1418.62515OpenAlexW2133491221MaRDI 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
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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