Bonaccolto, Giovanni; Caporin, Massimiliano - In: Journal of risk and financial management : JRFM 9 (2016) 3, pp. 1-25
-known volatility persistence. However, the impact of those covariates might change depending on the risk level, being different between … 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 …