{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,31]],"date-time":"2026-10-31T05:23:53Z","timestamp":1793424233074,"version":"4.5.0"},"reference-count":60,"publisher":"Wiley","issue":"3","license":[{"start":{"date-parts":[[2002,12,17]],"date-time":"2002-12-17T00:00:00Z","timestamp":1040083200000},"content-version":"vor","delay-in-days":199,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["The Journal of Finance"],"published-print":{"date-parts":[[2002,6]]},"abstract":"<jats:title>ABSTRACT<\/jats:title>\n                  <jats:p>We propose using the price range in the estimation of stochastic volatility models. We show theoretically, numerically, and empirically that range\u2010based volatility proxies are not only highly efficient, but also approximately Gaussian and robust to microstructure noise. Hence range\u2010based Gaussian quasi\u2010maximum likelihood estimation produces highly efficient estimates of stochastic volatility models and extractions of latent volatility. We use our method to examine the dynamics of daily exchange rate volatility and find the evidence points strongly toward two\u2010factor models with one highly persistent factor and one quickly mean\u2010reverting factor.<\/jats:p>","DOI":"10.1111\/1540-6261.00454","type":"journal-article","created":{"date-parts":[[2003,3,12]],"date-time":"2003-03-12T02:35:50Z","timestamp":1047436550000},"page":"1047-1091","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":974,"title":["Range\u2010Based Estimation of Stochastic Volatility Models"],"prefix":"10.1111","volume":"57","author":[{"given":"Sassan","family":"Alizadeh","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Michael W.","family":"Brandt","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Francis X.","family":"Diebold","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"311","published-online":{"date-parts":[[2002,12,17]]},"reference":[{"key":"e_1_2_8_2_1","unstructured":"Alizadeh Sassan 1998 Essays in Financial Econometrics Ph.D. Dissertation Department of Economics University of Pennsylvania."},{"key":"e_1_2_8_3_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1997.tb02722.x"},{"key":"e_1_2_8_4_1","doi-asserted-by":"publisher","DOI":"10.2307\/2527343"},{"key":"e_1_2_8_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(01)00055-1"},{"key":"e_1_2_8_6_1","first-page":"105","volume":"13","author":"Andersen Torben G.","year":"2000","journal-title":"Great realizations"},{"key":"e_1_2_8_7_1","doi-asserted-by":"publisher","DOI":"10.1198\/016214501750332965"},{"key":"e_1_2_8_8_1","doi-asserted-by":"crossref","unstructured":"Andersen Torben G. 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