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Drift-Independent Volatility Estimation Based on High, Low, Open, and Close Prices.. (2000). Yang, Dennis ; Zhang, Qiang.
In: The Journal of Business.
RePEc:ucp:jnlbus:v:73:y:2000:i:3:p:477-91.

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  92. State-preference pricing and volatility indices. (2017). Liu, Zhangxin ; Smith, Tom ; O'Neill, Michael J.
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  93. Forecasting risk via realized GARCH, incorporating the realized range. (2016). Gerlach, Richard ; Wang, Chao.
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  94. Correlation estimation using components of Japanese candlesticks. (2016). Popov, V.
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  95. Estimating and forecasting value-at-risk using the unbiased extreme value volatility estimator. (2016). Kumar, Dilip.
    In: Proceedings of Economics and Finance Conferences.
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  96. The informative role of trading volume in an expanding spot and futures market. (2016). Bhaumik, Sumon ; Karanasos, M ; Kartsaklas, A.
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  97. Low and high prices can improve volatility forecasts during periods of turmoil. (2016). Fiszeder, Piotr ; Perczak, Grzegorz .
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  98. Dynamic spillovers between Shanghai and London nonferrous metal futures markets. (2016). Yoon, Seong-Min ; Kang, Sang Hoon.
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  99. Volatility spillovers across stock index futures in Asian markets: Evidence from range volatility estimators. (2016). Lau, Chi Keung ; Brzeszczynski, Janusz ; Brzeszczyski, Janusz ; Marco, Chi Keung.
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  100. Intra- and inter-regional return and volatility spillovers across emerging and developed markets: Evidence from stock indices and stock index futures. (2016). Lau, Chi Keung ; Brzeszczynski, Janusz ; Yarovaya, Larisa ; Marco, Chi Keung ; Brzeszczyski, Janusz.
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  101. On the usefulness of intraday price ranges to gauge liquidity in cap-based portfolios. (2016). PETITJEAN, Mikael ; Mazza, Paolo.
    In: Economic Modelling.
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  102. Volatility estimators in econometric analysis of risk transfer on capital markets. (2016). Osinska, Magdalena ; Faldzinski, Marcin .
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  103. A State-Price Volatility Index for Chinas Stock Market. (2016). O'Neill, Michael ; Liu, Zhangxin ; Smith, Tom ; Wang, Kent .
    In: Accounting and Finance.
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  104. A Regression Based Approach to Capturing the Level Dependence in the Volatility of Stock Returns. (2016). Padmakumari, Lakshmi ; Maheswaran, S.
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  105. Bayesian Semi-parametric Realized-CARE Models for Tail Risk Forecasting Incorporating Realized Measures. (2016). Gerlach, Richard ; Wang, Chao.
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  106. Bivariate GARCH models for single asset returns. (2015). Skoczylas, Tomasz.
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  107. Forecasting stock index volatility with GARCH models: international evidence. (2015). Sharma, Prateek ; Vipul, .
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    RePEc:eme:sefpps:v:32:y:2015:i:4:p:445-463.

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  108. Market risk of BRIC Eurobonds in the financial crisis period. (2015). VORTELINOS, DIMITRIOS ; Lakshmi, Geeta .
    In: International Review of Economics & Finance.
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  109. Sudden changes in extreme value volatility estimator: Modeling and forecasting with economic significance analysis. (2015). Kumar, Dilip.
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    RePEc:eee:ecmode:v:49:y:2015:i:c:p:354-371.

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  110. Bridge homogeneous volatility estimators. (2014). Corsi, Fulvio ; Saichev, A. ; Filimonov, V. ; Sornette, D..
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  111. A noise-robust estimator of volatility based on interquantile ranges. (2014). Kuan, Chung-Ming ; Wang, Jying-Nan ; Yeh, Jin-Huei.
    In: Review of Quantitative Finance and Accounting.
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  112. Optimally sampled realized range-based volatility estimators. (2014). VORTELINOS, DIMITRIOS.
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  113. A new approach to model and forecast volatility based on extreme value of asset prices. (2014). Kumar, Dilip ; Maheswaran, S..
    In: International Review of Economics & Finance.
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  114. The importance of the volatility risk premium for volatility forecasting. (2014). Prokopczuk, Marcel ; Simen, Chardin Wese .
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  115. Modeling the daily electricity price volatility with realized measures. (2014). Frömmel, Michael ; Frommel, Michael ; Han, Xing ; Kratochvil, Stepan .
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  116. Heterogeneous Asymmetric Dynamic Conditional Correlation Model with Stock Return and Range. (2013). Asai, Manabu.
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  117. The Impacts of Financial Crisis on Sovereign Credit Risk Analysis in Asia and Europe. (2013). Wirjanto, Tony ; Kolkiewicz, Adam W. ; Li, Xindan ; Zhang, Min.
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  118. Conditional Autoregregressive Range (CARR) Based Volatility Spillover Index For the Eurozone Markets. (2013). demiralay, sercan ; Bayracı, Selçuk ; Bayraci, Selcuk.
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  119. Modelowanie i prognozowanie zmienności przy użyciu modeli opartych o zakres wahań. (2013). Skoczylas, Tomasz.
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  120. Efficiency and probabilistic properties of bridge volatility estimator. (2013). Saichev, A. ; Lapinova, S. ; Tarakanova, M..
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  121. On the predictability of stock prices: A case for high and low prices. (2013). Santucci de Magistris, Paolo ; Ranaldo, Angelo ; Caporin, Massimiliano.
    In: Journal of Banking & Finance.
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  122. Dynamic spillovers between oil and stock markets in the Gulf Cooperation Council Countries. (2013). Awartani, Basel ; Maghyereh, Aktham Issa .
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  123. The economics of data: Using simple model-free volatility in a high-frequency world. (2013). Gallagher, Liam ; Garvey, John.
    In: The North American Journal of Economics and Finance.
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  124. Forecasting volatility via stock return, range, trading volume and spillover effects: The case of Brazil. (2013). Asai, Manabu ; Brugal, Ivan .
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:25:y:2013:i:c:p:202-213.

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  125. Detecting sudden changes in volatility estimated from high, low and closing prices. (2013). Kumar, Dilip ; Maheswaran, S..
    In: Economic Modelling.
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  126. Financial Time Operator for random walk markets. (2013). Gustafson, K ; Gialampoukidis, I ; Antoniou, I.
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  127. A new look at variance estimation based on low, high and closing prices taking into account the drift. (2013). Fiszeder, Piotr ; Perczak, Grzegorz .
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  128. On the Predictability of Stock Prices: a Case for High and Low Prices. (2012). Santucci de Magistris, Paolo ; Ranaldo, Angelo ; Caporin, Massimiliano.
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  129. Volatility estimators based on daily price ranges versus the realized range. (2012). Todorova, Neda.
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  130. Nonparametric regression for locally stationary time series. (2012). Vogt, Michael.
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  131. A top–bottom price approach to understanding financial fluctuations. (2012). Cajueiro, Daniel ; Andrade, Roberto F. S., ; Miranda, Jose G. V., ; Rivera-Castro, Miguel A. ; Borges, Ernesto P..
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  132. Properties of range-based volatility estimators. (2012). Molnár, Peter ; Molnr, Peter.
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  133. Forecasting with Interval and Histogram Data. Some Financial Applications. (2011). Maté, Carlos ; Gonzalez-Rivera, Gloria ; Mate, Carlos ; Arroyo, Javier .
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  134. On the Predictability of Stock Prices: a Case for High and Low Prices. (2011). Ranaldo, Angelo ; Caporin, Massimiliano.
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  135. Non-Linear Volatility Modeling of Economic and Financial Time Series Using High Frequency Data. (2011). Matei, Marius.
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  136. On the Predictability of Stock Prices: A Case for High and Low Prices.. (2011). Santucci de Magistris, Paolo ; Ranaldo, Angelo ; Caporin, Massimiliano.
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  137. Financial volatility forecasting with range-based autoregressive volatility model. (2011). Hong, Yongmiao ; Li, Hongquan .
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  138. Extreme Volatilities, Financial Crises and L-moment Estimations of Tail-indexes. (2010). Maillet, Bertrand ; Medecin, Jean-Philippe R..
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  139. Exact simulation of final, minimal and maximal values of Brownian motion and jump-diffusions with applications to option pricing. (2010). Becker, Martin.
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  140. Stock Index Volatility: the case of IPSA. (2010). Alfaro, Rodrigo ; Silva, Carmen Gloria .
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  141. The economic value of volatility timing using a range-based volatility model. (2010). Chou, Ray ; Liu, Nathan .
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  142. ON THE ROBUSTNESS OF RANGE-BASED VOLATILITY ESTIMATORS. (2010). Winters, Drew B. ; Akay, Ozgur ; Griffiths, Mark D..
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  143. High-Frequency and Model-Free Volatility Estimators. (2009). Åšlepaczuk, Robert ; Zakrzewski, Grzegorz .
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  144. Emerging versus developed volatility indices. The comparison of VIW20 and VIX indices. (2009). Åšlepaczuk, Robert ; Zakrzewski, Grzegorz .
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  145. A high-low model of daily stock price ranges. (2009). Wan, Alan ; Cheung, Yin-Wong ; Alan T. K. Wan, ; Alan T. K. Wan, .
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  146. A High-Low Model of Daily Stock Price Ranges. (2009). Wan, Alan ; Cheung, Yin-Wong ; Alan T. K. Wan, ; Alan T. K. Wan, .
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  147. High Watermarks of Market Risks. (2009). Maillet, Bertrand ; Michel, Thierry ; Medecin, Jean-Philippe .
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  148. Intra-daily information of range-based volatility for MEM-GARCH. (2009). Ng, H. S. ; Lam, K. P..
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  149. Range-based multivariate volatility model with double smooth transition in conditional correlation. (2009). Chou, Ray ; Cai, Yijie .
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  150. The Information Contents of VIX Index and Range-based Volatility on Volatility Forecasting Performance of S&P 500. (2009). Hung, Jui-Cheng ; Ni, Ren-Xi ; Chang, Matthew C..
    In: Economics Bulletin.
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  151. The relationship between the volatility of returns and the number of jumps in financial markets. (2009). Cartea, Álvaro ; Karyampas, Dimitrios .
    In: DEE - Working Papers. Business Economics. WB.
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  152. The Relationship Between the Volatility of Returns and the Number of Jumps in Financial Markets. (2009). Cartea, Álvaro ; Karyampas, Dimitrios .
    In: Birkbeck Working Papers in Economics and Finance.
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  153. Homogeneous Volatility Bridge Estimators. (2009). Corsi, Fulvio ; Saichev, Alexander ; Filimonov, Vladimir ; Sornette, Didier.
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  154. Resilience of Volatility. (2009). Stepanov, Sergey S..
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  155. Volatilidad de Indices Accionarios: El caso del IPSA. (2008). Alfaro, Rodrigo ; Silva, Carmen Gloria .
    In: Latin American Journal of Economics-formerly Cuadernos de Economía.
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  156. Realized volatility. (2008). Benzoni, Luca ; Andersen, Torben.
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  157. Nonlinear mean reversion in stock prices. (2008). Levy, Haim ; Bali, Turan G. ; Demirtas, Ozgur K..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:32:y:2008:i:5:p:767-782.

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  158. A High-Low Model of Daily Stock Price Ranges. (2008). Wan, Alan ; Cheung, Yin-Wong ; Alan T. K. Wan, ; Alan T. K. Wan, .
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  159. Execution edge of pit traders and intraday price ranges of soft commodities. (2007). Kliakhandler, Igor.
    In: Applied Financial Economics.
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  160. A Hausman test for Brownian motion. (2007). Sanddorf-Kohle, Walter ; Kloner, Stefan ; Friedmann, Ralph ; Becker, Martin.
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  161. Measuring volatility with the realized range. (2006). van Dijk, Dick ; Martens, M. P. E., ; van Dijk, D. J. C., .
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  162. Asymptotic theory for range-based estimation of integrated variance of a continuous semi-martingale. (2005). Christensen, Kim ; Podolski, Mark .
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  163. A no-arbitrage approach to range-based estimation of return covariances and correlations. (2004). Diebold, Francis ; Brandt, Michael W..
    In: CFS Working Paper Series.
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  164. La volatilité des marchés augmente-t-elle ?. (2004). RAYMOND, Helene ; Negrea, Bogdan ; Maillet, Bertrand ; Héricourt, Jérôme ; Chauveau, Thierry ; Friederich, Sylvain ; Hericourt, Jerome ; Raymond-Feingold, Helene ; Jurczenko, Emmanuel ; Moussu, Christophe ; Lubochinsky, Catherine .
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  165. A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations. (2003). Diebold, Francis ; Brandt, Michael W..
    In: PIER Working Paper Archive.
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  166. A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations. (2003). Diebold, Francis ; Brandt, Michael W..
    In: NBER Working Papers.
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  167. Using high, low, open, and closing prices to estimate the effects of cash settlement on futures prices. (2003). Lien, Donald ; Chan, Leo.
    In: International Review of Financial Analysis.
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  168. Stock market returns, volatility, and future output. (2002). Guo, Hui.
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  169. Range?Based Estimation of Stochastic Volatility Models. (2002). Diebold, Francis ; Alizadeh, Sassan.
    In: Journal of Finance.
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  170. High- and Low-Frequency Exchange Rate Volatility Dynamics: Range-Based Estimation of Stochastic Volatility Models. (2001). Diebold, Francis ; Brandt, Michael W. ; Alizadeh, Sassan.
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  171. A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations. (). Diebold, Francis ; April, ; Brandt, Michael W..
    In: Center for Financial Institutions Working Papers.
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