Realized volatility or price range: Evidence from a discrete simulation of the continuous time diffusion process

The study provides evidence in favor of the price range as a proxy estimator of volatility in financial time series, in the cases that either intra-day datasets are unavailable or they are available at a low sampling frequency.

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Year of publication:	2013
Authors:	Degiannakis, Stavros ; Livada, Alexandra
Published in:	Economic Modelling. - Elsevier, ISSN 0264-9993. - Vol. 30.2013, C, p. 212-216
Publisher:	Elsevier
Subject:	Integrated volatility \| Intra-day volatility \| Price range \| Realized volatility \| Stochastic differential equation

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Type of publication:	Article
Classification:	C15 - Statistical Simulation Methods; Monte Carlo Methods ; C53 - Forecasting and Other Model Applications ; G17 - Financial Forecasting
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010608267