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Improving the Parkinson Method of Estimating Security Price Volatilities

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References

1973The Pricing of Options and Corporate Liabilities29,064 cited
1980The Extreme Value Method for Estimating the Variance of the Rate of Return1,946 cited
1980On the Estimation of Security Price Volatilities from Historical Data1,538 cited

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2008A high–low model of daily stock price ranges48 cited

2005A comparative study of alternative extreme-value volatility estimators47 cited

2004Daily volatility behavior in Chinese futures markets46 cited

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1998Forecasting index volatility: sampling interval and non-trading effects39 cited