A Pitman Closeness Evaluation of Range-based Estimators in Shortened Time Horizons

with Kelsey Edwards, Alan Chow, and Gwendolyn Pennywell, Journal of Business and Economic Perspectives, Volume XLVI (1), Spring/Summer, 2019, 121-134

Abstract

Much research has been conducted using various measures of volatility of investment returns. Volatility of the returns is one of the many factors that impact valuation, particularly in equities, which in turn impact decision making related to investments and portfolio allocation. In more recent years, volatility as measured by variance of the return has become a hot topic for financial researchers, because of its relationship to investment strategies (Kuo & Li [2013]) and cash flow predictability as it realtes to sotck returns (Bosserley, Xu & Zhou [2015]).

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