Abstract
Recent advances in econometric methodology and newly available sources of data are used to examine empirically the performance of the various extreme-value volatility estimators that have been proposed over the past two decades. Overwhelming support is found for the use of extreme-value estimators when computing daily volatility measures across all assets: Daily extreme-value volatility estimators are both less biased and substantially more efficient than the traditional close-to-close estimator. In the case of weekly and monthly measures, the results still suggest that extreme-value estimators are appropriate, but the evidence is more mixed.
Original language | English (US) |
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Pages (from-to) | 873-892 |
Number of pages | 20 |
Journal | Journal of Futures Markets |
Volume | 25 |
Issue number | 9 |
DOIs | |
State | Published - Sep 2005 |
Externally published | Yes |
ASJC Scopus subject areas
- Accounting
- General Business, Management and Accounting
- Finance
- Economics and Econometrics