A comparative study of alternative extreme‐value volatility estimators
Recent advances in econometric methodology and newly available sources of data are used to examine empirically the performance of the various extreme‐value volatility estimators that have been proposed over the past two decades. Overwhelming support is found for the use of extreme‐value estimators when computing daily volatility measures across all assets: Daily extreme‐value volatility estimators are both less biased and substantially more efficient than the traditional close‐to‐close estimator. In the case of weekly and monthly measures, the results still suggest that extreme‐value estimators are appropriate, but the evidence is more mixed. © 2005 Wiley Periodicals, Inc. Jrl Fut Mark 25:873–892, 2005
Year of publication: |
2005
|
---|---|
Authors: | Bali, Turan G. ; Weinbaum, David |
Published in: |
Journal of Futures Markets. - John Wiley & Sons, Ltd.. - Vol. 25.2005, 9, p. 873-892
|
Publisher: |
John Wiley & Sons, Ltd. |
Saved in:
freely available
Saved in favorites
Similar items by person
-
A conditional extreme value volatility estimator based on high-frequency returns
Bali, Turan G., (2007)
-
A comparative study of alternative extreme-value volatility estimators
Bali, Turan G., (2005)
-
Inferring Aggregate Market Expectations from the Cross-Section of Stock Prices
Bali, Turan G., (2020)
- More ...