Efficiency and probabilistic properties of bridge volatility estimator

S. Lapinova, A. Saichev and M. Tarakanova

Physica A: Statistical Mechanics and its Applications, 2013, vol. 392, issue 6, 1439-1451

Abstract: We discuss the efficiency of the quadratic bridge volatility estimator in comparison with Parkinson, Garman–Klass and Roger–Satchell estimators. It is shown in particular that point and interval estimations of volatility, resting on the bridge estimator, are considerably more efficient than analogous estimations, resting on the Parkinson, Garman–Klass and Roger–Satchell ones.

Keywords: Volatility estimators; Probabilistic properties; Efficiency; Unbiasedness (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:392:y:2013:i:6:p:1439-1451

DOI: 10.1016/j.physa.2012.11.047

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