Range-Based Volatility Estimation is a volatility modeling method that belongs to the class of price-range-based estimators and specifically utilizes the high and low prices of an asset over a given period to infer the latent volatility, distinguishing itself from return-based methods by leveraging the informational content of price extremes rather than closing-price variations.
74
Publications
4.8K
Citations
126
Authors
91
Institutions
Publications per year
2017–2026
22
Parents
Publications
74
Range‐Based Estimation of Stochastic Volatility Models
Sassan Alizadeh, Michael W. Brandt, Francis X. Diebold · The Journal of Finance · 2002 · 1.2K citations · Full text
Volatility Forecast Comparison Using Imperfect Volatility Proxies
Andrew J. Patton · Journal of Econometrics · 2006 · 201 citations · Full text
1–5 of 74
Authors
126
- MW
7
h-index
- FM
5
h-index
- FX
5
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- PM
3
h-index
- TG
3
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1–5 of 126
Institutions
91
Duke University
Durham, United States
7 h-index
7 publications
914 citations
University of Pennsylvania
Philadelphia, United States
5 h-index
9 publications
3.5K citations
National Bureau of Economic Research
Cambridge, United States
5 h-index
8 publications
755 citations
Southwest Jiaotong University
Chengdu, China
5 h-index
18 publications
622 citations
University of International Business and Economics
Beijing, China
3 h-index
3 publications
154 citations
Aarhus University
Aarhus, Denmark
3 h-index
3 publications
82 citations
Erasmus University Rotterdam
Rotterdam, The Netherlands
3 h-index
6 publications
177 citations
Feng Chia University
Taichung, Taiwan
2 h-index
2 publications
84 citations
1–8 of 91
Venues
- SSRN Electronic Journal
Repository · 9 publications · 609 citations
9
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- Journal of Futures Markets
5 publications · 229 citations
5
h-index
- Economic Modelling
5 publications · 137 citations
5
h-index
- Finance research letters
5 publications · 177 citations
5
h-index
- The North American Journal of Economics and Finance
4 publications · 77 citations
4
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1–5