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The Maximum Likelihood Estimation of Security Price Volatility: Theory, Evidence, and Application to Option Pricing

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  • Ball, Clifford A
  • Torous, Walter N
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    Article provided by University of Chicago Press in its journal Journal of Business.

    Volume (Year): 57 (1984)
    Issue (Month): 1 (January)
    Pages: 97-112

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    Handle: RePEc:ucp:jnlbus:v:57:y:1984:i:1:p:97-112

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    Cited by:
    1. Peter C. B. Phillips & Jun Yu, 2009. "Simulation-Based Estimation of Contingent-Claims Prices," Review of Financial Studies, Society for Financial Studies, vol. 22(9), pages 3669-3705, September.
    2. Peter Hansen & Asger Lunde, 2003. "Consistent Preordering with an Estimated Criterion Function, with an Application to the Evaluation and Comparison of Volatility Models," Working Papers 2003-01, Brown University, Department of Economics.
    3. Massimiliano Caporin & Angelo Ranaldo, 2011. "On the Predictability of Stock Prices: a Case for High and Low Prices," Working Papers 2011-11, Swiss National Bank.
    4. Sassan Alizadeh & Michael W. Brandt & Francis X. Diebold, 1999. "Range-Based Estimation of Stochastic Volatility Models or Exchange Rate Dynamics are More Interesting Than You Think," Center for Financial Institutions Working Papers 00-28, Wharton School Center for Financial Institutions, University of Pennsylvania.
    5. Michael W. Brandt & Francis X. Diebold, 2001. "A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations," PIER Working Paper Archive 03-013, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 01 Apr 2003.
    6. Awartani, Basel & Maghyereh, Aktham Issa, 2013. "Dynamic spillovers between oil and stock markets in the Gulf Cooperation Council Countries," Energy Economics, Elsevier, vol. 36(C), pages 28-42.
    7. Ser-Huang Poon & Clive W.J. Granger, 2003. "Forecasting Volatility in Financial Markets: A Review," Journal of Economic Literature, American Economic Association, vol. 41(2), pages 478-539, June.
    8. Maheswaran, S. & Kumar, Dilip, 2013. "An automatic bias correction procedure for volatility estimation using extreme values of asset prices," Economic Modelling, Elsevier, vol. 33(C), pages 701-712.
    9. Kumar, Dilip & Maheswaran, S., 2014. "A reflection principle for a random walk with implications for volatility estimation using extreme values of asset prices," Economic Modelling, Elsevier, vol. 38(C), pages 33-44.
    10. L. C. G. Rogers & Fanyin Zhou, 2008. "Estimating correlation from high, low, opening and closing prices," Papers 0804.0162, arXiv.org.
    11. Abel Rodriguez & Henryk Gzyl & German Molina & Enrique ter Horst, 2009. "Stochastic Volatility Models Including Open, Close, High and Low Prices," Papers 0901.1315, arXiv.org.
    12. Torben G. Andersen & Tim Bollerslev, 1997. "Answering the Critics: Yes, ARCH Models Do Provide Good Volatility Forecasts," NBER Working Papers 6023, National Bureau of Economic Research, Inc.
    13. Vortelinos, Dimitrios I., 2014. "Optimally sampled realized range-based volatility estimators," Research in International Business and Finance, Elsevier, vol. 30(C), pages 34-50.

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