Volatility estimation based on extremes of the bridge (in Russian)
AbstractWe investigate properties of the volatility estimator, which is proportional to the square of oscillations of the bridge formed by the logarithm of the incremental price of a financial instrument at a specified time interval. In the framework of the geometric Brownian motion model for price increments we show by analytical computations and statistical simulations that the proposed volatility estimator by the bridge is much more efficient than the well-known Parkinson and Garman–Class estimators. We also discuss possible usages of the estimators for estimation of integrated volatility.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Quantile in its journal Quantile.
Volume (Year): (2012)
Issue (Month): 10 (December)
Contact details of provider:
Web page: http://quantile.ru/
volatility; volatility estimators; efficiency; bias; extremes of Brownian motion;
Find related papers by JEL classification:
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
You can help add them by filling out this form.
reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Stanislav Anatolyev).
If references are entirely missing, you can add them using this form.