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Variances of Security Price Returns Based on High, Low, and Closing Prices

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Author Info
Beckers, Stan
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File URL: http://links.jstor.org/sici?sici=0021-9398%28198301%2956%3A1%3C97%3AVOSPRB%3E2.0.CO%3B2-A&origin=repec
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Article provided by University of Chicago Press in its journal Journal of Business.

Volume (Year): 56 (1983)
Issue (Month): 1 (January)
Pages: 97-112
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Handle: RePEc:ucp:jnlbus:v:56:y:1983:i:1:p:97-112

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  1. Sassan Alizadeh & Michael W. Brandt & Francis X. Diebold, 1999. "Range-Based Estimation of Stochastic Volatility Models or Exchange Rate Dynamics are More Interesting Than You Think," Center for Financial Institutions Working Papers 00-28, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
  2. Yin-wong Cheung, 2006. "An Empirical Model of Daily Highs and Lows," Working Papers 072006, Hong Kong Institute for Monetary Research. [Downloadable!]
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  3. Peter Hansen & Asger Lunde, 2003. "Consistent Preordering with an Estimated Criterion Function, with an Application to the Evaluation and Comparison of Volatility Models," Working Papers 2003-01, Brown University, Department of Economics. [Downloadable!]
  4. Wen-Hsiu Kuo & Ching-Chung Lin & Liu-Hsiang Hsu, 2007. "The impact of foreign trading information on emerging futures markets: a study of Taiwan's unique data set," Economics Bulletin, Economics Bulletin, vol. 7(10), pages 1-14. [Downloadable!]
  5. Pandey Ajay, 2003. "Modeling and Forecasting Volatility in Indian Capital Markets," IIMA Working Papers 2003-08-03, Indian Institute of Management Ahmedabad, Research and Publication Department. [Downloadable!]
  6. Robert F. Engle & Giampiero M. Gallo, 2003. "A Multiple Indicators Model for Volatility Using Intra-Daily Data," NBER Working Papers 10117, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  7. G. William Schwert, 1990. "Stock Volatility and the Crash of '87," NBER Working Papers 2954, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  8. Yan-Leung Cheung & Yin-Wong Cheung & Alan T. K. Wan, 2009. "A High-Low Model of Daily Stock Price Ranges," Working Papers 032009, Hong Kong Institute for Monetary Research. [Downloadable!]
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