Dockery, Everton; Efentakis, Miltiadis; Al-Faryan, … - In: Risk Governance and Control: Financial Markets & … 8 (2018) 2, pp. 7-40
We study the performance of range-based models over varying market conditions and compare their performance against a …, especially during quiet periods, than is the case for the other range based models considered. Also, we find that the EWMA and …
