桥梁波动估计器的效率和概率性质

ERN: Financial Market Volatility (Topic) Pub Date : 2012-05-17 DOI:10.2139/ssrn.2026389

A. Saichev, S. Lapinova, M. Tarakanova

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引用次数: 1

摘要

我们讨论了二次桥波动估计的有效性，并与Parkinson、Garman-Klass和Roger-Satchell估计进行了比较。本文特别指出，基于桥估计的波动率的点和区间估计比基于帕金森、Garman-Klass和Roger-Satchell估计的类似估计要有效得多。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Efficiency and Probabilistic Properties of Bridge Volatility Estimator

We discuss the efficiency of the quadratic bridge volatility estimator in comparison with Parkinson, Garman–Klass and Roger–Satchell estimators. It is shown in particular that point and interval estimations of volatility, resting on the bridge estimator, are considerably more efficient than analogous estimations, resting on the Parkinson, Garman–Klass and Roger–Satchell ones.

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ERN: Financial Market Volatility (Topic)

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