This paper proposes a range-based dynamic conditional correlation (DCC) model combined by the return-based DCC model and the conditional autoregressive range (CARR) model. The substantial gain in efficiency of volatility estimation can boost the accuracy for estimating time-varying covariances....

The literature on range volatility modeling has been rapidly expanding due to its importance and applications. This paper provides alternative price range estimators and discusses their empirical properties and limitations. Besides, we review some relevant financial applications for range...