Comparative statistics of Garman-Klass, Parkinson, Roger-Satchell and bridge estimators
AbstractComparative statistical properties of Parkinson, Garman-Klass, Roger-Satchell and bridge oscillation estimators are discussed. Point and interval estimations, related with mentioned estimators are considered
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1202.4311.
Date of creation: Feb 2012
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-02-27 (All new papers)
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- 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.
- 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.
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