Volatility Estimation via First Exit Times

Estimation of volatility is important for many financial applications. The most common methods are based on a time series analysis, either sampling prices at regular intervals or using extreme values from within the time intervals. We examine an alternative, where we use the exit times from a price corridor. This method converges more quickly to the true volatility and is a natural fit for high frequency traders who continuously monitor price series

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Year of publication:	[2021]
Authors:	Sinclair, Euan ; Merrill, Chris
Publisher:	[S.l.] : SSRN
Subject:	Volatilität \| Volatility \| Theorie \| Theory \| Schätzung \| Estimation \| Stochastischer Prozess \| Stochastic process

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Extent:	1 Online-Ressource (8 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 15, 2014 erstellt
Other identifiers:	10.2139/ssrn.3904792 [DOI]
Classification:	C00 - Mathematical and Quantitative Methods. General ; C53 - Forecasting and Other Model Applications ; G00 - Financial Economics. General ; G1 - General Financial Markets ; G10 - General Financial Markets. General ; E47 - Forecasting and Simulation
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013213836