Chou, Ray Yeutien; Liu, Nathan - In: Journal of Economic Dynamics and Control 34 (2010) 11, pp. 2288-2301
There is growing interest in utilizing the range data of asset prices to study the role of volatility in financial markets. In this paper, a new range-based volatility model was used to examine the economic value of volatility timing in a mean-variance framework. We compared its performance with...