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Realized volatility or price range: Evidence from a discrete simulation of the continuous time diffusion process

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  • Degiannakis, Stavros
  • Livada, Alexandra

Abstract

The study provides evidence in favor of the price range as a proxy estimator of volatility in financial time series, in the cases that either intra-day datasets are unavailable or they are available at a low sampling frequency.

Suggested Citation

  • Degiannakis, Stavros & Livada, Alexandra, 2013. "Realized volatility or price range: Evidence from a discrete simulation of the continuous time diffusion process," Economic Modelling, Elsevier, vol. 30(C), pages 212-216.
  • Handle: RePEc:eee:ecmode:v:30:y:2013:i:c:p:212-216
    DOI: 10.1016/j.econmod.2012.09.027
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    Cited by:

    1. Baruník, Jozef & Dvořáková, Sylvie, 2015. "An empirical model of fractionally cointegrated daily high and low stock market prices," Economic Modelling, Elsevier, vol. 45(C), pages 193-206.
    2. Baruník, Jozef & Hlínková, Michaela, 2016. "Revisiting the long memory dynamics of the implied–realized volatility relationship: New evidence from the wavelet regression," Economic Modelling, Elsevier, vol. 54(C), pages 503-514.
    3. repec:eee:ecmode:v:64:y:2017:i:c:p:349-356 is not listed on IDEAS

    More about this item

    Keywords

    Integrated volatility; Intra-day volatility; Price range; Realized volatility; Stochastic differential equation;

    JEL classification:

    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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