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Applied Financial Economics Volume 22, 2012 - Issue 3
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Original Articles

Volatility estimators based on daily price ranges versus the realized range

Neda Todorova Department of Business Administration, in particular Finance and Capital Market Theory, European University Viadrina, Große Scharrnstraße 59, 15230 Frankfurt (Oder), GermanyCorrespondence[email protected]
Pages 215-229 | Published online: 11 Oct 2011

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Tseng-Chan Tseng & Hung-Cheng Lai. (2014) The role of institutional investors in market volatility during the subprime mortgage crisis. Applied Financial Economics 24:23, pages 1529-1536.
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Articles from other publishers (14)

Riza Demirer, Konstantinos Gkillas, Christos Kountzakis & Amaryllis Mavragani. (2020) Risk Appetite and Jumps in Realized Correlation. Mathematics 8:12, pages 2255.
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Jennifer So-Kuen Chan, Kok-Haur Ng & Rachel Ragell. (2019) Bayesian return forecasts using realised range and asymmetric CARR model with various distribution assumptions. International Review of Economics & Finance 61, pages 188-212.
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Feng Ma, Yaojie Zhang, Dengshi Huang & Xiaodong Lai. (2018) Forecasting oil futures price volatility: New evidence from realized range-based volatility. Energy Economics 75, pages 400-409.
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Qizhi Tao, Yu Wei, Jiapeng Liu & Ting Zhang. (2018) Modeling and forecasting multifractal volatility established upon the heterogeneous market hypothesis. International Review of Economics & Finance 54, pages 143-153.
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Konstantinos Gkillas (Gillas)Dimitrios I. Vortelinos & Shrabani Saha. (2018) The properties of realized volatility and realized correlation: Evidence from the Indian stock market. Physica A: Statistical Mechanics and its Applications 492, pages 343-359.
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Dimitrios I. Vortelinos, Konstantinos Gkillas & Christos Floros. 2017. The Greek Debt Crisis. The Greek Debt Crisis 219 283 .
Dimitrios I. Vortelinos. (2016) Incremental information of stock indicators. International Review of Economics & Finance 41, pages 79-97.
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Prateek Sharma & Vipul _. (2015) Forecasting stock index volatility with GARCH models: international evidence. Studies in Economics and Finance 32:4, pages 445-463.
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Zhichao Liu, Feng Ma & Yujia Long. (2015) High and low or close to close prices? Evidence from the multifractal volatility. Physica A: Statistical Mechanics and its Applications 427, pages 50-61.
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Ray Yeutien Chou, Hengchih Chou & Nathan Liu. 2015. Handbook of Financial Econometrics and Statistics. Handbook of Financial Econometrics and Statistics 2029 2050 .
Dimitrios I. Vortelinos. (2014) Optimally sampled realized range-based volatility estimators. Research in International Business and Finance 30, pages 34-50.
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Neda Todorova & Michael Souček. (2014) The impact of trading volume, number of trades and overnight returns on forecasting the daily realized range. Economic Modelling 36, pages 332-340.
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Dimitrios I. Vortelinos & Konstantinos Gkillas. (2017) International Announcements and WTI Crude Oil Futures: Evidence from the 2008 Crisis Period. SSRN Electronic Journal.
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Max Sutton, Andrey L. Vasnev & Richard H. Gerlach. (2015) Generalized Variance: A Robust Estimator of Stock Price Volatility. SSRN Electronic Journal.
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