Homogeneous Volatility Bridge Estimators
AbstractWe present a theory of homogeneous volatility bridge estimators for log-price stochastic processes. The main tool of our theory is the parsimonious encoding of the information contained in the open, high and low prices of incomplete bridge, corresponding to given log-price stochastic process, and in its close value, for a given time interval. The efficiency of the new proposed estimators is favorably compared with that of the Garman-Klass and Parkinson estimators.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 0912.1617.
Date of creation: Dec 2009
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-12-19 (All new papers)
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