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Measuring volatility with the realized range

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Author Info
Martens, Martin
van Dijk, Dick

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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 138 (2007)
Issue (Month): 1 (May)
Pages: 181-207
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Handle: RePEc:eee:econom:v:138:y:2007:i:1:p:181-207

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  1. Mark Podolskij & Daniel Ziggel, 2007. "A Range-Based Test for the Parametric Form of the Volatility in Diffusion Models," CREATES Research Papers 2007-26, School of Economics and Management, University of Aarhus. [Downloadable!]
    Other versions:
  2. Ole E. Barndorff-Nielsen & Neil Shephard, 2005. "Variation, jumps, market frictions and high frequency data in financial econometrics," OFRC Working Papers Series 2005fe08, Oxford Financial Research Centre. [Downloadable!]
    Other versions:
  3. Kim Christensen & Mark Podolskij & Mathias Vetter, 2009. "Bias-correcting the realized range-based variance in the presence of market microstructure noise," Finance and Stochastics, Springer, vol. 13(2), pages 239-268, April. [Downloadable!] (restricted)
  4. Robert Úlepaczuk & Grzegorz Zakrzewski, 2009. "Emerging versus developed volatility indices. The comparison of VIW20 and VIX indices," Working Papers 2009-11, Faculty of Economic Sciences, University of Warsaw. [Downloadable!]
  5. Visser, Marcel P., 2008. "Forecasting S&P 500 Daily Volatility using a Proxy for Downward Price Pressure," MPRA Paper 11100, University Library of Munich, Germany. [Downloadable!]
  6. Visser, Marcel P., 2008. "Ranking and Combining Volatility Proxies for Garch and Stochastic Volatility Models," MPRA Paper 4917, University Library of Munich, Germany. [Downloadable!]
  7. Marwan Izzeldin & Ana-Maria Fuertes & Elena Kalotychou, 2008. "On forecasting daily stock volatility: the role of intraday information and market conditions," Working Papers 005439, Lancaster University Management School, Economics Department. [Downloadable!]
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  8. Andrew Patton, 2006. "Volatility Forecast Comparison using Imperfect Volatility Proxies," Research Paper Series 175, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
  9. Ole E. Barndorff-Nielsen & Sven Erik Graversen & Jean Jacod & Neil Shephard, 2005. "Limit theorems for bipower variation in financial econometrics," Economics Papers 2005-W06, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
    Other versions:
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