## Abstract This paper examines the estimation and forecasting performance of rangeβbased volatility estimators for stocks, with twoβscales realized volatility as the benchmark. There is evidence that the daily rangeβbased estimators provide an efficient and lowβbias alternative to the returnβbased
β¦ LIBER β¦
Financial volatility forecasting with range-based autoregressive volatility model
β Scribed by Hongquan Li; Yongmiao Hong
- Book ID
- 116494889
- Publisher
- Elsevier Science
- Year
- 2011
- Tongue
- English
- Weight
- 305 KB
- Volume
- 8
- Category
- Article
- ISSN
- 1544-6123
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