Pages that link to "Item:Q1182679"
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The following pages link to Estimating variance from high, low and closing prices (Q1182679):
Displaying 40 items.
- Measuring volatility with the realized range (Q277164) (← links)
- Realized range-based estimation of integrated variance (Q289157) (← links)
- A multiple indicators model for volatility using intra-daily data (Q292000) (← links)
- A new approach to model financial markets (Q394485) (← links)
- Financial time operator for random walk markets (Q508162) (← links)
- The economic value of volatility timing using a range-based volatility model (Q609837) (← links)
- On the evaluation of intraday market quality in the limit-order book markets: a collaborative filtering approach (Q825354) (← links)
- Bias-correcting the realized range-based variance in the presence of market microstructure noise (Q964674) (← links)
- Intra-daily information of range-based volatility for MEM-GARCH (Q1025346) (← links)
- Another explanation for the bias observed in the filter rule test (Q1313153) (← links)
- Estimating the implicit interest rate of a risky asset (Q1316597) (← links)
- The fine-structure of volatility feedback. I: Multi-scale self-reflexivity (Q1782966) (← links)
- Speed of price adjustment in Indian stock market: a paradox (Q2036862) (← links)
- The value of the high, low and close in the estimation of Brownian motion (Q2040943) (← links)
- Statistical inference of locally stationary functional coefficient models (Q2189096) (← links)
- A coupled component DCS-EGARCH model for intraday and overnight volatility (Q2190218) (← links)
- Improving forecasts with the co-range dynamic conditional correlation model (Q2338532) (← links)
- Estimating correlation from high, low, opening and closing prices (Q2426612) (← links)
- A Hausman test for Brownian motion (Q2461269) (← links)
- Exact simulation of final, minimal and maximal values of Brownian motion and jump-diffusions with applications to option pricing (Q2655744) (← links)
- Simple factor realized stochastic volatility models (Q2693373) (← links)
- Modelling and forecasting stock volatility and return: a new approach based on quantile Rogers-Satchell volatility measure with asymmetric bilinear CARR model (Q2700553) (← links)
- An application of the method of moments to range-based volatility estimation using daily high, low, opening, and closing (HLOC) prices (Q2853373) (← links)
- Bridge homogeneous volatility estimators (Q2879014) (← links)
- Estimation of tail-related value-at-risk measures: range-based extreme value approach (Q2879028) (← links)
- Three-point approach for estimating integrated volatility and integrated covariance (Q2879047) (← links)
- Stochastic volatility models including open, close, high and low prices (Q2893203) (← links)
- The Garman-Klass volatility estimator revisited (Q2921626) (← links)
- Correlation estimation using components of Japanese candlesticks (Q4554230) (← links)
- Semi-parametric Bayesian tail risk forecasting incorporating realized measures of volatility (Q4555071) (← links)
- A maximum likelihood approach to volatility estimation for a Brownian motion using high, low and close price data (Q4647284) (← links)
- Highs and lows: Some properties of the extremes of a diffusion and applications in finance (Q4801371) (← links)
- Long-term strategic asset allocation with inflation risk and regime switching (Q4911230) (← links)
- Forecasting risk via realized GARCH, incorporating the realized range (Q5001146) (← links)
- A closed-form quasi-maximum likelihood estimator of bid-ask spread (Q5082874) (← links)
- Are trading invariants really invariant? Trading costs matter (Q5139213) (← links)
- Volatility Estimation and Jump Testing via Realized Information Variation (Q5237530) (← links)
- PARAMETER ESTIMATION FOR A REGIME-SWITCHING MEAN-REVERTING MODEL WITH JUMPS (Q5704733) (← links)
- The Relationship between the Volatility of Returns and the Number of Jumps in Financial Markets (Q5863642) (← links)
- A new look at variance estimation based on low, high and closing prices taking into account the drift (Q6552776) (← links)
