Browsing Journal Articles by Author "Vipul"
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Estimation and forecasting of stock volatility with range based estimators
Jacob, Joshy; Vipul (Journal of Futures Markets, 2008-11-10)This paper examines the estimation and forecasting performance of range-based volatility estimators for stocks, with two-scales realized volatility as the benchmark. There is evidence that the daily range-based estimators ...