behavior of stock returns over a period of time. Our results show that robust volatility ratio for different k-month periods is … value robust volatility estimator with respect to the standard robust volatility estimator as proposed in the paper by … Muneer & Maheswaran (2018b). We show that the robust volatility ratio is unbiased both in the population as well as in finite …

of stock returns. The method introduced allows for the incorporation of macroeconomic variables into the forecasting …

Selecting stock portfolios and assessing their relative volatility risk compared to the market as a whole, market … uses the cross-sectional intrinsic entropy (CSIE) model to estimate the cross-sectional volatility of the stock groups that … can be considered together as portfolio constituents. The CSIE market volatility estimate is based on daily traded prices …

prices. We empirically assess efficiency gains in volatility estimation when using range-based estimators as opposed to … simple daily ranges and explore the use of these more efficient volatility measures as predictors of daily ranges. The array … forecasts are produced by a realized range based HAR model with a GARCH volatility-of-volatility component. …