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Optimally sampled realized range-based volatility estimators
Vortelinos, Dimitrios I. - In: Research in international business and finance 30 (2014), pp. 34-50
Persistent link: https://www.econbiz.de/10010390353
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Realized correlation analysis of contagion
Vortelinos, Dimitrios I. - In: The quarterly review of economics and finance : journal … 60 (2016), pp. 138-148
Persistent link: https://www.econbiz.de/10011627396
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Out-of-sample evaluation of macro announcements, linearity, long memory, heterogeneity and jumps in mini-futures markets
Vortelinos, Dimitrios I. - In: Review of financial economics : RFE 27 (2015), pp. 58-67
Persistent link: https://www.econbiz.de/10011498320
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Optimally sampled realized range-based volatility estimators
Vortelinos, Dimitrios I. - In: Research in International Business and Finance 30 (2014) C, pp. 34-50
Range-based volatility estimators are analyzed in both daily and intraday sampling frequency and are also compared to the realized volatility estimator. The family of realized range-based estimators is extended as three range-based estimators are introduced. These three realized Parkinson...
Persistent link: https://www.econbiz.de/10010719033