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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