Bridge homogeneous volatility estimators

DOI10.1080/14697688.2013.819985zbMath1294.91197OpenAlexW2079611333MaRDI QIDQ2879014

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Publication date: 5 September 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://openaccess.city.ac.uk/id/eprint/4430/1/bridgeQuantFin_3_rev-final.pdf

zbMATH Keywords

efficiencyvariancevolatilityhomogeneous functionsestimators

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Stochastic models in economics (91B70) Brownian motion (60J65)

Cites Work

• Estimating variance from high, low and closing prices
• Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
• Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
• Modeling and Forecasting Realized Volatility
• Modelling microstructure noise with mutually exciting point processes
• A Tale of Two Time Scales

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