The economic value of volatility timing using a range-based volatility model

DOI10.1016/J.JEDC.2010.05.010zbMath1201.91184OpenAlexW3125238649MaRDI QIDQ609837

Nathan Liu, Ray Yeutien Chou

Publication date: 1 December 2010

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2010.05.010

zbMATH Keywords

rangeasset allocationDCCCARReconomic valuevolatility timing

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Portfolio theory (91G10)

Related Items (6)

The contribution of intraday jumps to forecasting the density of returns ⋮ Long memory, spurious memory: persistence in range-based volatility of exchange rates ⋮ Modelling and forecasting stock volatility and return: a new approach based on quantile Rogers-Satchell volatility measure with asymmetric bilinear CARR model ⋮ Macroeconomic fundamentals, jump dynamics and expected volatility ⋮ Hedging the exchange rate risk for international portfolios ⋮ Improving forecasts with the co-range dynamic conditional correlation model

Uses Software

• CAViaR

Cites Work

• Unnamed Item
• Measuring volatility with the realized range
• Estimating variance from high, low and closing prices
• ARCH modeling in finance. A review of the theory and empirical evidence
• A multivariate conditional autoregressive range model
• Modeling the Asymmetry of Stock Movements Using Price Ranges
• Continuous Record Asymptotics for Rolling Sample Variance Estimators

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