low and high volatility states. By combining equity risk estimates, obtained from the Realized Range Volatility, corrected … equity risk determinants in different volatility states and, without distributional assumptions on the realized range …

low and high volatility states. By combining equity risk estimates, obtained from the Realized Range Volatility, corrected … equity risk determinants in different volatility states and, without distributional assumptions on the realized range …

Heterogeneous Autoregressive model to incorporate jumps into the dynamics of the ex-post volatility measures. Using the realized-range …

The realized GARCH framework is extended to incorporate the realized range, and the intra-day range, as potentially …- dex return series favor the realized GARCH models incorporating the realized range. Further, these same models also …