✦ LIBER ✦

ON THE ROBUSTNESS OF RANGE-BASED VOLATILITY ESTIMATORS

✍ Scribed by Ozgur (Ozzy) Akay; Mark D. Griffiths; Drew B. Winters

Book ID: 111215601
Publisher: John Wiley and Sons
Year: 2010
Tongue: English
Weight: 515 KB
Volume: 33
Category: Article
ISSN: 0270-2592
DOI: 10.1111/j.1475-6803.2010.01267.x

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Testing range estimators of historical v

Testing range estimators of historical volatility

✍ Jinghong Shu; Jin E. Zhang 📂 Article 📅 2006 🏛 John Wiley and Sons 🌐 English ⚖ 122 KB

## Abstract This study investigates the relative performance of various historical volatility estimators that incorporate daily trading range: M. Parkinson (1980), M. Garman and M. Klass (1980), L. C. G. Rogers and S. E. Satchell (1991), and D. Yang and Q. Zhang (2000). It is found that the range e

Estimation and forecasting of stock vola

Estimation and forecasting of stock volatility with range-based estimators

✍ Joshy Jacob; Vipul 📂 Article 📅 2008 🏛 John Wiley and Sons 🌐 English ⚖ 303 KB

## Abstract This paper examines the estimation and forecasting performance of range‐based volatility estimators for stocks, with two‐scales realized volatility as the benchmark. There is evidence that the daily range‐based estimators provide an efficient and low‐bias alternative to the return‐based

Range-Based Estimation of Stochastic Vol

Range-Based Estimation of Stochastic Volatility Models

✍ Sassan Alizadeh; Michael W. Brandt; Francis X. Diebold 📂 Article 📅 2002 🏛 John Wiley and Sons 🌐 English ⚖ 556 KB

On the robustness of batching estimators

✍ Yingchieh Yeh; Bruce Schmeiser 📂 Article 📅 2004 🏛 Elsevier Science 🌐 English ⚖ 189 KB

The Robustness of Lognormal-Based Estima

The Robustness of Lognormal-Based Estimators of Abundance

✍ R. A. Myers and P. Pepin 📂 Article 📅 1990 🏛 John Wiley and Sons 🌐 English ⚖ 870 KB

A comparative study of range-based stock

A comparative study of range-based stock return volatility estimators for the German market

✍ Neda Todorova; Sven Husmann 📂 Article 📅 2011 🏛 John Wiley and Sons 🌐 English ⚖ 166 KB 👁 1 views

We thank the editor, Robert Webb, and an anonymous referee for their helpful comments. We also thank Thorben Lubnau, Tyge-F. Kummer, and the participants of the 2nd International Finance Conference of the Indian Institute of Management, Calcutta for their suggestions.