Using intraday statistics for the estimation of the return variance

Erhard Reschenhofer

This paper proposes new estimators for the daily return variance which are based on common intraday statistics (opening, high, low, and closing prices). These estimators utilize information contained in products of absolute values of uncorrelated intraday statistics. An empirical study of nine components of the Dow Jones Industrial Average from 1962-01-02 to 2013-03-13 shows that they outperform existing estimators over all stocks and time periods.

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Year of publication:	2013
Authors:	Reschenhofer, Erhard
Published in:	Journal of finance and investment analysis. - Christchurch, New Zealand : Scientific Press International Limited, ISSN 2241-0996, ZDB-ID 2655150-0. - Vol. 2.2013, 2, p. 1-13
Subject:	range-based estimation \| Brownian motion \| folded normal distribution \| Schätztheorie \| Estimation theory \| Volatilität \| Volatility \| Statistische Verteilung \| Statistical distribution \| Kapitaleinkommen \| Capital income \| Stochastischer Prozess \| Stochastic process \| Schätzung \| Estimation

Extent:	graph. Darst.
Type of publication:	Article
Type of publication (narrower categories):	Aufsatz in Zeitschrift ; Article in journal
Language:	English
Classification:	C13 - Estimation ; G1 - General Financial Markets
Source:	ECONIS - Online Catalogue of the ZBW

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