Properties of range-based volatility estimators

Volatility is not directly observable and must be estimated. Estimator based on daily close data is imprecise. Range-based volatility estimators provide significantly more precision, but still remain noisy volatility estimates, something that is sometimes forgotten when these estimators are used in further calculations.

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Year of publication:	2012
Authors:	Molnár, Peter
Published in:	International Review of Financial Analysis. - Elsevier, ISSN 1057-5219. - Vol. 23.2012, C, p. 20-29
Publisher:	Elsevier
Subject:	Volatility \| High \| Low \| Range

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Type of publication:	Article
Classification:	c58 ; G17 - Financial Forecasting ; G32 - Financing Policy; Capital and Ownership Structure
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011056787