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

C-Tier
Journal: Economic Modeling
Year: 2013
Volume: 30
Issue: C
Pages: 212-216

Authors (2)

Score contribution per author:

0.505 = (α=2.02 / 2 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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.

Technical Details

RePEc Handle
repec:eee:ecmode:v:30:y:2013:i:c:p:212-216
Journal Field
General
Author Count
2
Added to Database
2026-01-25