An automatic bias correction procedure for volatility estimation using extreme values of asset prices

S. Maheswaran and Dilip Kumar

Economic Modelling, 2013, vol. 33, issue C, 701-712

Abstract: We propose and implement an empirical automatic bias correction (ABC) procedure for correcting the downward bias in the volatility estimators that utilize extreme value of asset prices. The bias originates from the random walk effect. The proposed estimator does not require knowledge of N, the number of steps. We find that the procedure works well in real life data.

Keywords: Volatility estimation; Extreme values; Bias correction; Random walk effect (search for similar items in EconPapers)
JEL-codes: C15 C58 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:33:y:2013:i:c:p:701-712

DOI: 10.1016/j.econmod.2013.05.019

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