메뉴 건너뛰기




Volumn 26, Issue 3, 2006, Pages 297-313

Testing range estimators of historical volatility

Author keywords

[No Author keywords available]

Indexed keywords


EID: 32644450808     PISSN: 02707314     EISSN: None     Source Type: Journal    
DOI: 10.1002/fut.20197     Document Type: Review
Times cited : (86)

References (12)
  • 1
    • 0011836910 scopus 로고    scopus 로고
    • Range-based estimation of stochastic volatility models
    • Alizadeh, S., Brandt, M. W., & Diebold, F. X. (2002). Range-based estimation of stochastic volatility models. Journal of Finance, 57, 1047-1091.
    • (2002) Journal of Finance , vol.57 , pp. 1047-1091
    • Alizadeh, S.1    Brandt, M.W.2    Diebold, F.X.3
  • 2
    • 85011135901 scopus 로고    scopus 로고
    • Some reflections on analysis of high-frequency data
    • Andersen, T. G. (2000). Some reflections on analysis of high-frequency data. Journal of Business & Economic Statistics, 18, 146-153.
    • (2000) Journal of Business & Economic Statistics , vol.18 , pp. 146-153
    • Andersen, T.G.1
  • 3
    • 0031161196 scopus 로고    scopus 로고
    • Intraday periodicity and volatility persistence in financial markets
    • Andersen, T. G, & Bollerslev, T. (1997). Intraday periodicity and volatility persistence in financial markets. Journal of Empirical Finance, 4, 115-158.
    • (1997) Journal of Empirical Finance , vol.4 , pp. 115-158
    • Andersen, T.G.1    Bollerslev, T.2
  • 4
    • 0010821136 scopus 로고
    • Standard & Poor's 500 index futures volatility and price changes around the New York Stock Exchange close
    • Chang, E. C., Jain, P. C., & Locke, P. R. (1995). Standard & Poor's 500 index futures volatility and price changes around the New York Stock Exchange close. Journal of Business, 68, 61-84.
    • (1995) Journal of Business , vol.68 , pp. 61-84
    • Chang, E.C.1    Jain, P.C.2    Locke, P.R.3
  • 5
    • 0000642051 scopus 로고    scopus 로고
    • The quality of market volatility forecasts implied by S&P 100 index option prices
    • Fleming, J. (1998). The quality of market volatility forecasts implied by S&P 100 index option prices. Journal of Empirical Finance, 5, 317-345.
    • (1998) Journal of Empirical Finance , vol.5 , pp. 317-345
    • Fleming, J.1
  • 7
    • 0002044433 scopus 로고
    • On the estimation of security price volatilities from historical data
    • Garman, M., & Klass, M. (1980). On the estimation of security price volatilities from historical data. Journal of Business, 53, 67-78.
    • (1980) Journal of Business , vol.53 , pp. 67-78
    • Garman, M.1    Klass, M.2
  • 8
    • 0001487603 scopus 로고    scopus 로고
    • How important is the correlation between returns and volatility in a stochastic volatility model? Empirical evidence from pricing and hedging in the S&P 500 index options market
    • Nandi, S. (1998). How important is the correlation between returns and volatility in a stochastic volatility model? Empirical evidence from pricing and hedging in the S&P 500 index options market. Journal of Banking and Finance, 22, 589-610.
    • (1998) Journal of Banking and Finance , vol.22 , pp. 589-610
    • Nandi, S.1
  • 9
    • 0002484781 scopus 로고
    • The extreme value method for estimating the variance of the rate of return
    • Parkinson, M. (1980). The extreme value method for estimating the variance of the rate of return. Journal of Business, 53, 61-68.
    • (1980) Journal of Business , vol.53 , pp. 61-68
    • Parkinson, M.1
  • 10
    • 0000635518 scopus 로고
    • Estimating variance from high, low and closing prices
    • Rogers, L. C. G., & Satchell, S. E. (1991). Estimating variance from high, low and closing prices. Annals of Applied Probability, 1, 504-512.
    • (1991) Annals of Applied Probability , vol.1 , pp. 504-512
    • Rogers, L.C.G.1    Satchell, S.E.2
  • 11
    • 0000626190 scopus 로고
    • Estimating the volatility of stock prices: A comparison of methods that use high and low prices
    • Rogers, L. C. G., Satchell, S. E., & Yoon, Y. (1994). Estimating the volatility of stock prices: A comparison of methods that use high and low prices. Applied Financial Economics, 4, 241-247.
    • (1994) Applied Financial Economics , vol.4 , pp. 241-247
    • Rogers, L.C.G.1    Satchell, S.E.2    Yoon, Y.3
  • 12
    • 0040191850 scopus 로고    scopus 로고
    • Drift independent volatility estimation based on high, low, open and close prices
    • Yang, D., & Zhang, Q. (2000). Drift independent volatility estimation based on high, low, open and close prices. Journal of Business, 73, 477-491.
    • (2000) Journal of Business , vol.73 , pp. 477-491
    • Yang, D.1    Zhang, Q.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.