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  • Search: subject:"Range-based volatility estimation"
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Range-based volatility estimation 2 algorithmic trading 2 method of moments 2 opening and closing prices 2 range of arithmetic Brownian motion 2 Börsenkurs 1 Estimation theory 1 Method of moments 1 Momentenmethode 1 Schätztheorie 1 Share price 1 Stochastic process 1 Stochastischer Prozess 1 Volatility 1 Volatilität 1 daily high 1 daily high, low 1 low 1
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Article 2
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Article in journal 1 Aufsatz in Zeitschrift 1
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English 1 Undetermined 1
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BUESCU, CRISTIN 1 Buescu, Cristin 1 KONÉ, FATOUMATA J. 1 Koné, Fatoumata J. 1 TAKSAR, MICHAEL 1 Taksar, Michael I. 1
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International Journal of Theoretical and Applied Finance (IJTAF) 1 International journal of theoretical and applied finance 1
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ECONIS (ZBW) 1 RePEc 1
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AN APPLICATION OF THE METHOD OF MOMENTS TO RANGE-BASED VOLATILITY ESTIMATION USING DAILY HIGH, LOW, OPENING, AND CLOSING (HLOC) PRICES
BUESCU, CRISTIN; TAKSAR, MICHAEL; KONÉ, FATOUMATA J. - In: International Journal of Theoretical and Applied … 16 (2013) 05, pp. 1350026-1
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. This novel theoretical approach results in an estimator that is genuinely range-based on daily...
Persistent link: https://www.econbiz.de/10011011283
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An application of the method of moments to range-based volatility estimation using daily high, low, opening, and closing (HLOC) prices
Buescu, Cristin; Taksar, Michael I.; Koné, Fatoumata J. - In: International journal of theoretical and applied finance 16 (2013) 5, pp. 1-24
Persistent link: https://www.econbiz.de/10009784042
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