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Optimally sampled realized range-based volatility estimators

✍ Scribed by Vortelinos, Dimitrios I.


Book ID
121304872
Publisher
Elsevier Science
Year
2014
Tongue
English
Weight
615 KB
Volume
30
Category
Article
ISSN
0275-5319

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Estimation and forecasting of stock vola
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## 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