A comparative study of alternative extreme-value volatility estimators

Turan G. Bali, David Weinbaum

Research output: Contribution to journalArticlepeer-review

31 Scopus citations


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 languageEnglish (US)
Pages (from-to)873-892
Number of pages20
JournalJournal of Futures Markets
Issue number9
StatePublished - Sep 2005
Externally publishedYes

ASJC Scopus subject areas

  • Accounting
  • General Business, Management and Accounting
  • Finance
  • Economics and Econometrics


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