A new look at variance estimation based on low, high and closing prices taking into account the drift

DOI10.1111/stan.12017zbMATH Open1541.62279MaRDI QIDQ6552776

Grzegorz Perczak, Piotr Fiszeder

Publication date: 10 June 2024

Published in: Statistica Neerlandica (Search for Journal in Brave)

zbMATH Keywords

Brownian motionlowclosing priceshighvolatility estimators

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

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• Jump-robust volatility estimation using nearest neighbor truncation
• Data-based ranking of realised volatility estimators
• Estimating variance from high, low and closing prices
• Generalized autoregressive conditional heteroscedasticity
• Volatility Estimation Based on High-Frequency Data
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Realized Volatility: A Review
• The Volatility of Realized Volatility
• An Introduction to Univariate GARCH Models

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