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Efficiency and probabilistic properties of bridge volatility estimator

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  • Lapinova, S.
  • Saichev, A.
  • Tarakanova, M.
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    Abstract

    We discuss the efficiency of the quadratic bridge volatility estimator in comparison with Parkinson, Garman–Klass and Roger–Satchell estimators. It is shown in particular that point and interval estimations of volatility, resting on the bridge estimator, are considerably more efficient than analogous estimations, resting on the Parkinson, Garman–Klass and Roger–Satchell ones.

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    File URL: http://www.sciencedirect.com/science/article/pii/S0378437112010126
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    Bibliographic Info

    Article provided by Elsevier in its journal Physica A: Statistical Mechanics and its Applications.

    Volume (Year): 392 (2013)
    Issue (Month): 6 ()
    Pages: 1439-1451

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    Handle: RePEc:eee:phsmap:v:392:y:2013:i:6:p:1439-1451

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    Web page: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/

    Related research

    Keywords: Volatility estimators; Probabilistic properties; Efficiency; Unbiasedness;

    References

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    1. Garey Ramey & Valerie A. Ramey, 1994. "Cross-Country Evidence on the Link Between Volatility and Growth," NBER Working Papers 4959, National Bureau of Economic Research, Inc.
    2. Lan Zhang & Per A. Mykland & Yacine Ait-Sahalia, 2003. "A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data," NBER Working Papers 10111, National Bureau of Economic Research, Inc.
    3. Valenti, Davide & Spagnolo, Bernardo & Bonanno, Giovanni, 2007. "Hitting time distributions in financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 382(1), pages 311-320.
    4. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 2001. "Modeling and Forecasting Realized Volatility," NBER Working Papers 8160, National Bureau of Economic Research, Inc.
    5. Garman, Mark B & Klass, Michael J, 1980. "On the Estimation of Security Price Volatilities from Historical Data," The Journal of Business, University of Chicago Press, vol. 53(1), pages 67-78, January.
    6. Parkinson, Michael, 1980. "The Extreme Value Method for Estimating the Variance of the Rate of Return," The Journal of Business, University of Chicago Press, vol. 53(1), pages 61-65, January.
    7. Yang, Dennis & Zhang, Qiang, 2000. "Drift-Independent Volatility Estimation Based on High, Low, Open, and Close Prices," The Journal of Business, University of Chicago Press, vol. 73(3), pages 477-91, July.
    8. Chou, Ray Yeutien & Liu, Nathan, 2010. "The economic value of volatility timing using a range-based volatility model," Journal of Economic Dynamics and Control, Elsevier, vol. 34(11), pages 2288-2301, November.
    9. Kunitomo, Naoto, 1992. "Improving the Parkinson Method of Estimating Security Price Volatilities," The Journal of Business, University of Chicago Press, vol. 65(2), pages 295-302, April.
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