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~institution:"Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam"
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Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam
Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", Università degli Studi di Firenze
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Erasmus University Rotterdam, Econometric Institute
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Measuring volatility with the realized range
van Dijk, Dick
;
Martens, Martens, M.P.E.
-
Faculteit der Economische Wetenschappen, Erasmus …
-
2006
daily volatility. Following Parkinson (1980) we replace each squared intra-day return by the
high-low
range
for that period …
Persistent link: https://www.econbiz.de/10010837783
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