Comparative statistics of Garman-Klass, Parkinson, Roger-Satchell and\n bridge estimators

2012/02/20 by Alexander I. Saichev, Alexander Saichev, Saichev, Alexander +2
Computer Science · Economics, Econometrics and Finance · Engineering · Mathematics · Medicine · #Bayesian Methods and Mixture Models #Bridge (graph theory) #Control Systems and Identification #Econometrics #Economics #Estimator #FOS: Economics and business #Financial Risk and Volatility Modeling #Mathematical Dynamics and Fractals #Mathematical economics #Mathematics #Medicine #Neural Networks and Applications #Risk Management (q-fin.RM) #Statistical Finance (q-fin.ST) #Statistics #Stochastic processes and financial applications #q-fin.RM #q-fin.ST

paper · pdf · doi:10.48550/arxiv.1202.4311

published in arXiv (Cornell University) (Cornell University) · 18 pages, 12 figures

arxiv created 2012/02/20 · openalex publication_date 2012/02/20 · arxiv updated 2012/02/21 · openalex created_date 2022/10/06 · openalex updated_date 2026/08/05

Abstract

Comparative statistical properties of Parkinson, Garman-Klass, Roger-Satchell\nand bridge oscillation estimators are discussed. Point and interval\nestimations, related with mentioned estimators are considered\n

Citations

• The Extreme Value Method for Estimating the Variance of the Rate of Return
• On the Estimation of Security Price Volatilities from Historical Data

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