performance and exchange rates in tourism, forecasting volatility with the realized range in the presence of noise and non …

performance and exchange rates in tourism, forecasting volatility with the realized range in the presence of noise and non …

performance and exchange rates in tourism, forecasting volatility with the realized range in the presence of noise and non …

We introduce a heuristic bias-adjustment for the transaction price-based realized range estimator of daily volatility …) biased or not, which we use for a more refined bias-adjustment of the realized range estimator. Both Monte Carlo simulations … measures and ex ante forecasts based on the heuristically adjusted realized range compare favorably to existing bias …

estimating the presence of jumps in volatility, using the realized-range measure as a volatility proxy. By focusing on a set of …

In this paper, we estimate, model and forecast Realized Range Volatility, a new realized measure and estimator of the … and correct our estimations, following a known procedure. Then, we model the Realized Range accounting for the well …