Volatility estimators based on daily price ranges versus the realized range
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References listed on IDEAS
- Aït-Sahalia, Yacine & Mykland, Per A. & Zhang, Lan, 2011.
"Ultra high frequency volatility estimation with dependent microstructure noise,"
Journal of Econometrics,
Elsevier, vol. 160(1), pages 160-175, January.
- Ait-Sahalia, Yacine & Mykland, Per A. & Zhang, Lan, 2005. "Ultra high frequency volatility estimation with dependent microstructure noise," Discussion Paper Series 1: Economic Studies 2005,30, Deutsche Bundesbank.
- Yacine Ait-Sahalia & Per A. Mykland & Lan Zhang, 2005. "Ultra High Frequency Volatility Estimation with Dependent Microstructure Noise," NBER Working Papers 11380, National Bureau of Economic Research, Inc.
- Robert Ślepaczuk & Grzegorz Zakrzewski, 2009. "High-Frequency and Model-Free Volatility Estimators," Working Papers 2009-13, Faculty of Economic Sciences, University of Warsaw.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Vortelinos, Dimitrios I., 2014. "Optimally sampled realized range-based volatility estimators," Research in International Business and Finance, Elsevier, vol. 30(C), pages 34-50.
- Vortelinos, Dimitrios I., 2016. "Incremental information of stock indicators," International Review of Economics & Finance, Elsevier, vol. 41(C), pages 79-97.
- Liu, Zhichao & Ma, Feng & Long, Yujia, 2015. "High and low or close to close prices? Evidence from the multifractal volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 427(C), pages 50-61.
- Todorova, Neda & Souček, Michael, 2014. "The impact of trading volume, number of trades and overnight returns on forecasting the daily realized range," Economic Modelling, Elsevier, vol. 36(C), pages 332-340.
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