Buescu, Cristin; Taksar, Michael; Fatoumata J. Kon\'e - arXiv.org - 2011
We use the expectation of the range of an arithmetic Brownian motion and the method of moments on the daily high, low, opening and closing prices to estimate the volatility of the stock price. The daily price jump at the opening is considered to be the result of the unobserved evolution of an...