Turner, Andrew L.; Weigel, Eric J. - In: Management Science 38 (1992) 11, pp. 1586-1609
This paper examines the daily return variability of the S&P 500 and the Dow Jones indices over the 1928--1989 period. We use the traditional close-to-close standard deviation of returns, two alternative estimators incorporating the daily high and low of the index, and a robust estimator to...