A high-low model of daily stock price ranges

Journal of Forecasting

Volumn 28, Issue 2, 2009, Pages 103-119

  Cheung, Yan Leung ^a   Cheung, Yin Wong ^b,c   Wan, Alan T K ^a  

^a CITY UNIVERSITY OF HONG KONG   (Hong Kong)

^b UNIVERSITY OF CALIFORNIA   (United States)

^c UNIVERSITY OF HONG KONG   (Hong Kong)

Author keywords

Daily high; Daily low; Forecast performance; Implied volatility; VECM model

Indexed keywords

ERROR CORRECTION; FINANCIAL MARKETS;

COINTEGRATION; DAILY HIGH; DAILY LOW; FORECAST PERFORMANCE; HIGH-LOW; IMPLIED VOLATILITY; MODEL-BASED OPC; STOCK PRICE; VECTOR ERROR CORRECTION MODEL; VECTOR ERROR CORRECTION MODEL MODEL;

FORECASTING;

EID: 61649115236     PISSN: 02776693     EISSN: 1099131X     Source Type: Journal    
DOI: 10.1002/for.1087     Document Type: Article

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