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  • A comparative study of range-based stock return volatility estimators for the German market

    Author(s)
    Todorova, Neda
    Husmann, Sven
    Griffith University Author(s)
    Todorova, Neda
    Year published
    2012
    Metadata
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    Abstract
    This study investigates the relative performance of various volatility estimators based on daily and intraday price ranges of 25 German equities, with the two-scales realized volatility used as a benchmark. The empirical results show that all estimators based on daily ranges are by far superior to the classical estimator but are severely negatively biased due to discrete trading. The realized range obtained from intraday ranges performs better in terms of both bias and efficiency, although its performance still suffers from discrete trading. In these settings, the bias correcting procedure developed by Christensen and Podolskij ...
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    This study investigates the relative performance of various volatility estimators based on daily and intraday price ranges of 25 German equities, with the two-scales realized volatility used as a benchmark. The empirical results show that all estimators based on daily ranges are by far superior to the classical estimator but are severely negatively biased due to discrete trading. The realized range obtained from intraday ranges performs better in terms of both bias and efficiency, although its performance still suffers from discrete trading. In these settings, the bias correcting procedure developed by Christensen and Podolskij (2007) appears to consistently outperform all other alternatives, including the scaled version of Martens and van Dijk (2007), and provides evidence of the relative advantages of the realized range
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    Journal Title
    Journal of Futures Markets
    Volume
    32
    Issue
    6
    DOI
    https://doi.org/10.1002/fut.20534
    Subject
    Economic models and forecasting
    Econometrics not elsewhere classified
    Banking, finance and investment
    Publication URI
    http://hdl.handle.net/10072/53011
    Collection
    • Journal articles

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