Efficiency and Probabilistic Properties of Bridge Volatility Estimator

We discuss 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 bridge estimator, are considerably more efficient than analogous estimations, resting on Parkinson, Garman-Klass and Roger-Satchell one

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Year of publication:	2012
Authors:	Saichev, Alexander I.
Other Persons:	Lapinova, Svetlana Alexandrovna (contributor) ; Tarakanova, Maria (contributor)
Publisher:	[2012]: [S.l.] : SSRN
Subject:	Volatilität \| Volatility \| Schätztheorie \| Estimation theory \| Wahrscheinlichkeitsrechnung \| Probability theory \| Effizienzmarkthypothese \| Efficient market hypothesis \| Stochastischer Prozess \| Stochastic process \| Effizienz \| Efficiency \| Schätzung \| Estimation

Extent:	1 Online-Ressource (24 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 17, 2012 erstellt
Other identifiers:	10.2139/ssrn.2026389 [DOI]
Classification:	C2 - Econometric Methods: Single Equation Models ; C4 - Econometric and Statistical Methods: Special Topics ; C6 - Mathematical Methods and Programming
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013108805