Range-Based Estimation of Stochastic Volatility Models

Preprint

1 January 2001

preprint
Published by Elsevier in SSRN Electronic Journal

https://doi.org/10.2139/ssrn.267788

Abstract

We propose using the price range in the estimation of stochastic volatility models. We show theoretically, numerically, and empirically that the range is not on

Keywords

SSRN
RANGE-BASED ESTIMATION OF STOCHASTIC VOLATILITY MODELS
SASSAN ALIZADEH
MICHAEL W. BRANDT
FRANCIS X. DIEBOLD

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