VARIANCES OF SECURITY PRICE RETURNS BASED ON HIGH, LOW, AND CLOSING PRICES

被引：97

作者：

BECKERS, S

机构：

来源：

JOURNAL OF BUSINESS | 1983年 / 56卷 / 01期

关键词：

D O I：

10.1086/296188

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

引用

收藏

页码：97 / 112

页数：16

相关论文

共 5 条

[1] STANDARD DEVIATIONS IMPLIED IN OPTION PRICES AS PREDICTORS OF FUTURE STOCK-PRICE VARIABILITY
BECKERS, S
[J]. JOURNAL OF BANKING & FINANCE, 1981, 5 (03) : 363 - 381
[2] PRICING OF OPTIONS AND CORPORATE LIABILITIES
BLACK, F
SCHOLES, M
[J]. JOURNAL OF POLITICAL ECONOMY, 1973, 81 (03) : 637 - 654
[3] ESTIMATION OF SECURITY PRICE VOLATILITIES FROM HISTORICAL DATA
GARMAN, MB
KLASS, MJ
[J]. JOURNAL OF BUSINESS, 1980, 53 (01) : 67 - 78
[4] STANDARD DEVIATIONS OF STOCK-PRICE RATIOS IMPLIED IN OPTION PRICES
LATANE, HA
RENDLEMAN, RJ
[J]. JOURNAL OF FINANCE, 1976, 31 (02) : 369 - 381
[5] EXTREME VALUE METHOD FOR ESTIMATING THE VARIANCE OF THE RATE OF RETURN
PARKINSON, M
[J]. JOURNAL OF BUSINESS, 1980, 53 (01) : 61 - 65