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Volatility estimation based on extremes of the bridge (in Russian)

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Author Info

  • Svetlana Lapinova

    (Higher School of Economics, Nizhni Novgorod, Russia)

  • Alexander Saichev

    (Nizhni Novgorod State University, Russia
    Swiss Federal Institute of Technology, Zurich, Switzerland)

  • Maria Tarakanova

    (Nizhni Novgorod State University, Russia)

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    Abstract

    We 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.

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    File URL: http://quantile.ru/10/10-LS.pdf
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    Bibliographic Info

    Article provided by Quantile in its journal Quantile.

    Volume (Year): (2012)
    Issue (Month): 10 (December)
    Pages: 73-90

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    Handle: RePEc:qnt:quantl:y:2012:i:10:p:73-90

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    Web page: http://quantile.ru/

    Related research

    Keywords: volatility; volatility estimators; efficiency; bias; extremes of Brownian motion;

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