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Lombard Odier Investment Managers

2024 Top 500 Ranking: 280

Do volatility forecasts benefit from range-based measures?

Do volatility forecasts benefit from range-based measures?

MARS, our Multi-Asset Research Series, focuses on complex topics in the realm of multi asset to bring quantitative investment research back to Earth. In this second issue, we continue to explore range-based volatility measures and consider their advantages to improve volatility forecasts versus other estimators.

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