This is a summary of links featured on Quantocracy on Wednesday, 09/20/2023. To see our most recent links, visit the Quant Mashup. Read on readers!
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Range-Based Volatility Estimators: Overview and Examples of Usage [Portfolio Optimizer]Volatility estimation and forecasting plays a crucial role in many areas of finance. For example, standard risk-based portfolio allocation methods (minimum variance, equal risk contributions, hierarchical risk parity) critically depend on the ability to build accurate volatility forecasts1. Multiple methods for estimating volatility have been proposed over the past several decades, and in this