Title of article
Efficiency and probabilistic properties of bridge volatility estimator
Author/Authors
S. A. Lapinova، نويسنده , , S. and Saichev، نويسنده , , A. and Tarakanova، نويسنده , , M.، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2013
Pages
13
From page
1439
To page
1451
Abstract
We discuss the efficiency of the quadratic bridge volatility estimator in comparison with Parkinson, Garman–Klass and Roger–Satchell estimators. It is shown in particular that point and interval estimations of volatility, resting on the bridge estimator, are considerably more efficient than analogous estimations, resting on the Parkinson, Garman–Klass and Roger–Satchell ones.
Keywords
Unbiasedness , efficiency , Probabilistic properties , Volatility estimators
Journal title
Physica A Statistical Mechanics and its Applications
Serial Year
2013
Journal title
Physica A Statistical Mechanics and its Applications
Record number
1736701
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