Testing range estimators of historical volatility

By Jinghong Shu, Jin E. Zhang. 2006

121 citations recorded by the source corpus.

How researchers see this paper

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Intra- and inter-regional return and volatility spillovers across emerging and developed markets: Evidence from stock indices and stock index futures (2016, background): “estimators and it is drift independent, which is confirmed by Shu and Zhang (2006)(6):”
"Momentum Strategies in Futures Markets and Trend-following Funds" (2013, unknown): “where VTIME and VASSET are the variance-covariance matrices of one-way clustering across time and asset respectively, and VWHITE is the White (1980) heteroscedasticity-robust OLS variance-covariance matrix.”
Forecasting time-varying covariance with a range-based dynamic conditional correlation model (2009, methodology): “Many insightful studies have provided powerful evidence including Parkinson (1980), Garman and Klass (1980), Wiggins (1991), Rogers and Satchell (1991), Kunitomo (1992) and, more recently, Gallant et al. (1999), Yang and Zhang (2000), Alizadeh et al. (2002), Brandt and Jones (2006), Chou (2005, 200”
Demystifying Time‐Series Momentum Strategies: Volatility Estimators, Trading Rules and Pairwise Correlations (2020, unknown): “where VTIME and VASSET are the variance-covariance matrices of one-way clustering across time and asset respectively, and VWHITE is the White (1980) heteroscedasticity-robust OLS variance-covariance matrix.”