search query: @author Brandt, M.W. / total: 5
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| Author: | Alizadeh, S. Brandt, M.W. Diebold, F.X. |
| Title: | Range-based estimation of stochastic volatility models |
| Journal: | Journal of Finance
2002 : JUN, VOL. 57:3, p. 1047-1091 |
| Index terms: | PRICES STOCHASTIC PROCESSES VOLATILITY |
| Language: | eng |
| Abstract: | The authors propose using the price range in the estimation of stochastic volatility models. They show theoretically, numerically, and empirically that range-based volatility proxies are not only highly efficient, but also approxiamately Gaussian and robust to microstructure noise. |
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