Search Results - subject:"range-based estimation"

Optimal nonparametric range-based volatility estimation

Bollerslev, Tim; Li, Jia; Li, Qiyuan - In: Journal of econometrics 238 (2024) 1, pp. 1-18

Persistent link: https://www.econbiz.de/10015073787

Using intraday statistics for the estimation of the return variance

Reschenhofer, Erhard - In: Journal of finance and investment analysis 2 (2013) 2, pp. 1-13

This paper proposes new estimators for the daily return variance which are based on common intraday statistics (opening, high, low, and closing prices). These estimators utilize information contained in products of absolute values of uncorrelated intraday statistics. An empirical study of nine...

Persistent link: https://www.econbiz.de/10009746033

Estimation of spot volatility with superposed noisy data

Liu, Qiang; Liu, Yiqi; Liu, Zhi; Wang, Li - In: The North American journal of economics and finance : a … 44 (2018), pp. 62-79

Persistent link: https://www.econbiz.de/10012036296

A no-arbitrage approach to range-based estimation of return covariances and correlations

Brandt, Michael W.; Diebold, Francis X. - 2004

We extend the important idea of range-based volatility estimation to the multivariate case. In particular, we propose a range-based covariance estimator that is motivated by financial economic considerations (the absence of arbitrage), in addition to statistical considerations. We show that,...

Persistent link: https://www.econbiz.de/10010298281

A no-arbitrage approach to range-based estimation of return covariances and correlations

Brandt, Michael W.; Diebold, Francis X. - Center for Financial Studies - 2004

Persistent link: https://www.econbiz.de/10010958542

A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations

Brandt, Michael W.; Diebold, Francis X. - Center for Financial Studies - 2004

No. 2004/07 A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and …/07 A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations ♠ Michael W. Brandt ♦ and …-based estimates in a multivariate GARCH framework. Keywords: Range-based estimation, volatility, covariance, correlation …

Persistent link: https://www.econbiz.de/10005600448

A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations

Brandt, Michael W.; Diebold, Francis X. - Department of Economics, University of Pennsylvania - 2001

We extend range-based volatility estimation to the multivariate case. In particular, we propose a range-based covariance estimator motivated by a key financial economic consideration, the absence of arbitrage, in addition to statistical considerations. We show that this estimator is highly...

Persistent link: https://www.econbiz.de/10005109594

A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations

Brandt, Michael W.; Diebold, Francis X.; April - Financial Institutions Center, Wharton School of Business

Persistent link: https://www.econbiz.de/10005794415