30 citations · 34 across the 2 of their papers we have counts for
2 papers
q-fin.ST2008★ 30 cited
Estimating correlation from high, low, opening and closing prices
L. C. G. Rogers, Fanyin Zhou
In earlier studies, the estimation of the volatility of a stock using information on the daily opening, closing, high and low prices has been developed; the additional information…
q-fin.RM2007★ 4 cited
Valuations and dynamic convex risk measures
A. Jobert, L. C. G. Rogers
This paper approaches the definition and properties of dynamic convex risk measures through the notion of a family of concave valuation operators satisfying certain simple and cred…