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 range-based volatility estimation to the multivariate case. In particular, we propose a range …-based covariance estimator motivated by a key financial economic consideration, the absence of arbitrage, in addition to statistical …

We extend range-based volatility estimation to the multivariate case. In particular, we propose a range …-based covariance estimator motivated by a key financial economic consideration, the absence of arbitrage, in addition to statistical …

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 …