Empirical Tests of the Bias and Efficiency of the Extreme-Value Variance Estimator for Common Stocks

James B Wiggins

The Journal of Business, 1991, vol. 64, issue 3, 417-32

Abstract: This article examines the empirical bias and efficiency of Michael Parkinson's extreme-value variance estimator for common stocks using an extensive NYSE/AMEX data base. Bias and efficiency are analyzed as a function of stock price level and trading volume. The results are sensitive to outliers in daily high and low prices. After an outlier screen is applied to the data, the efficiency of the extreme-value estimator significantly exceeds that of the close-close estimator for most price and volume groups. Copyright 1991 by University of Chicago Press.

Date: 1991
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Persistent link: https://EconPapers.repec.org/RePEc:ucp:jnlbus:v:64:y:1991:i:3:p:417-32

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