We extend the important idea of range-based volatility estimation to the multivariate case. In particular, we propose a … range-based covariance estimator that is motivated by financial economic considerations (the absence of arbitrage), in … addition to statistical considerations. We show that, unlike other univariate and multivariate volatility estimators, the range …

We extend the important idea of range-based volatility estimation to the multivariate case. In particular, we propose a … range-based covariance estimator that is motivated by financial economic considerations (the absence of arbitrage), in … addition to statistical considerations. We show that, unlike other univariate and multivariate volatility estimators, the range …

(cointegration) and volatility modelling (ARCH, short for Auto Regressive Conditional Heteroskedasticity). More generally, Engle …

Volatility has been one of the most active and successful areas of research in time series econometrics and economic … empirical insights to emerge from this burgeoning literature, with a distinct focus on forecasting applications. Volatility is … inherently latent, and Section 1 begins with a brief intuitive account of various key volatility concepts. Section 2 then …

Volatility has been one of the most active and successful areas of research in time series econometrics and economic … empirical insights to emerge from this burgeoning literature, with a distinct focus on forecasting applications. Volatility is … inherently latent, and Section 1 begins with a brief intuitive account of various key volatility concepts. Section 2 then …

(cointegration) and volatility modelling (ARCH, short for Auto Regressive Conditional Heteroskedasticity). More generally, Engle …