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Homogeneous Volatility Bridge Estimators

Author

Listed:
  • Alexander SAICHEV

    (ETH Zurich and Nizhni Novgorod State University)

  • Didier SORNETTE

    (ETH Zurich and Swiss Finance Institute)

  • Vladimir FILIMONOV

    (ETH Zurich and Nizhni Novgorod State University)

  • Fulvio CORSI

    (University of Lugano and Swiss Finance Institute)

Abstract

We present a theory of homogeneous volatility bridge estimators for logprice 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.

Suggested Citation

  • Alexander SAICHEV & Didier SORNETTE & Vladimir FILIMONOV & Fulvio CORSI, 2009. "Homogeneous Volatility Bridge Estimators," Swiss Finance Institute Research Paper Series 09-46, Swiss Finance Institute.
    • Handle: RePEc:chf:rpseri:rp0946
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    File URL: http://ssrn.com/abstract=1523225
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    Citations

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    Cited by:

    1. A. Saichev & D. Sornette, 2011. "Time-Bridge Estimators of Integrated Variance," Papers 1108.2611, arXiv.org.

    More about this item

    Keywords

    volatility; variance; estimators; efficiency; Wiener processes; homoge- neous functions;
    All these keywords.

    JEL classification:

    • C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
    • C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General
    • C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General

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