Volatility Estimation and Forecasts Based on Price Durations
(2021)
Journal Article
Young Hong, S., Nolte, I., Taylor, S. J., & Zhao, X. (2023). Volatility Estimation and Forecasts Based on Price Durations. Journal of Financial Econometrics, 21(1), 106-144. https://doi.org/10.1093/jjfinec/nbab006
We investigate price duration variance estimators that have long been neglected in the literature. In particular, we consider simple-to-construct non-parametric duration estimators, and parametric price duration estimators using autoregressive condit... Read More about Volatility Estimation and Forecasts Based on Price Durations.