Range Volatility Models and Their Applications in Finance

There has been a rapid growth of range volatility due to the demand of empirical finance. This paper contains a review of the important development of range volatility, including a variety of range definitions and range-based volatility models. In addition, range-based multivariate volatility models and realized range are also considered here. At last, this paper suggests some possible and relevant financial applications for range volatility

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Year of publication:	[2009]
Authors:	Chou, Ray Y.
Other Persons:	Chou, Heng-Chih (contributor) ; Liu, Nathan (contributor)
Publisher:	[2009]: [S.l.] : SSRN

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Extent:	1 Online-Ressource (25 p)
Type of publication:	Book / Working Paper
Notes:	In: HANDBOOK OF QUANTITATIVE FINANCE AND RISK MANAGEMENT, Cheng-Few Lee and Alice C. Lee, eds., 2009
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012766398