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Quantitative Finance · Begrippenlijst

Wat is Range-based volatility estimator?

Definition 7.3 Research Craft: Predictors, Backtests, Measurement, Portfolios · Hoofdstuk 7 — Price and Volume Features

A range-based volatility estimator estimates a day’s return variance from its open, high, low and close prices rather than from close-to-close returns alone.

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