Jones, Charles P.; Walker, Mark D.; Wilson, Jack W. - In: Journal of Financial Research 27 (2004) 4, pp. 585-601
We develop a simple measure of volatility based on extreme-day returns and apply it to market returns from 1885 to 2002. Because returns are not normally distributed, the extreme-day measure, which is distribution free, might provide a better measure of stock market risk than the traditional...
