Post by Sapphire Capital on Jul 15, 2008 20:04:25 GMT 4
Range Volatility Models and Their Applications in Finance
RAY Y. CHOU
Academia Sinica
HENG-CHIH CHOU
National Taiwan Ocean University - Department of Shipping and Transportation Management
NATHAN LIU
Affiliation Unknown
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HANDBOOK OF QUANTITATIVE FINANCE AND RISK MANAGEMENT, Cheng-Few Lee and Alice C. Lee, eds., Forthcoming
Abstract:
There has been a rapid growth of range volatility due to the demand of empirical finance. This paper contains a review of the important development of range volatility, including a variety of range definitions and range-based volatility models. In addition, range-based multivariate volatility models and realized range are also considered here. At last, this paper suggests some possible and relevant financial applications for range volatility.
papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID1147536_code556347.pdf?abstractid=1143265&mirid=2
RAY Y. CHOU
Academia Sinica
HENG-CHIH CHOU
National Taiwan Ocean University - Department of Shipping and Transportation Management
NATHAN LIU
Affiliation Unknown
--------------------------------------------------------------------------------
HANDBOOK OF QUANTITATIVE FINANCE AND RISK MANAGEMENT, Cheng-Few Lee and Alice C. Lee, eds., Forthcoming
Abstract:
There has been a rapid growth of range volatility due to the demand of empirical finance. This paper contains a review of the important development of range volatility, including a variety of range definitions and range-based volatility models. In addition, range-based multivariate volatility models and realized range are also considered here. At last, this paper suggests some possible and relevant financial applications for range volatility.
papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID1147536_code556347.pdf?abstractid=1143265&mirid=2