Bayesian range-based estimation of stochastic volatility models
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References listed on IDEAS
- Parkinson, Michael, 1980. "The Extreme Value Method for Estimating the Variance of the Rate of Return," The Journal of Business, University of Chicago Press, vol. 53(1), pages 61-65, January.
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- James W. Taylor, 2005. "Generating Volatility Forecasts from Value at Risk Estimates," Management Science, INFORMS, vol. 51(5), pages 712-725, May.
- Trojan, Sebastian, 2013. "Regime Switching Stochastic Volatility with Skew, Fat Tails and Leverage using Returns and Realized Volatility Contemporaneously," Economics Working Paper Series 1341, University of St. Gallen, School of Economics and Political Science, revised Aug 2014.
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