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Volatility estimators based on daily price ranges versus the realized range

✍ Scribed by Todorova, Neda

Book ID: 125837268
Publisher: Taylor and Francis Group
Year: 2011
Tongue: English
Weight: 173 KB
Volume: 22
Category: Article
ISSN: 0960-3107
DOI: 10.1080/09603107.2011.610739

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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.