Realized volatility or price range: Evidence from a discrete simulation of the continuous time diffusion process

Stavros Degiannakis and Alexandra Livada

Economic Modelling, 2013, vol. 30, issue C, 212-216

Abstract: The study provides evidence in favor of the price range as a proxy estimator of volatility in financial time series, in the cases that either intra-day datasets are unavailable or they are available at a low sampling frequency.

Keywords: Integrated volatility; Intra-day volatility; Price range; Realized volatility; Stochastic differential equation (search for similar items in EconPapers)
JEL-codes: C15 C53 G17 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (12)

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Working Paper: Realized Volatility or Price Range: Evidence from a discrete simulation of the continuous time diffusion process (2013)
Working Paper: Realized Volatility or Price Range: Evidence from a discrete simulation of the continuous time diffusion process (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:30:y:2013:i:c:p:212-216

DOI: 10.1016/j.econmod.2012.09.027

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