Efficiency and probabilistic properties of bridge volatility estimator

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.

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Year of publication:	2013
Authors:	Lapinova, S. ; Saichev, A. ; Tarakanova, M.
Published in:	Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 392.2013, 6, p. 1439-1451
Publisher:	Elsevier
Subject:	Volatility estimators \| Probabilistic properties \| Efficiency \| Unbiasedness

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010871596