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Comparison Of Estimators Of Equity Return Standard Deviation Using Pitman Closeness Criterion And Control Charting Applications

Author

Listed:
  • CHOW Alan

    (Mitchell College of Business, University of South Alabama, USA)

  • LAHTINEN Kyre Dane

    (Mitchell College of Business, University of South Alabama, USAAuthor-Name: CHOW ALAN)

  • EDWARDS Kelsey

    (Mitchell College of Business, University of South Alabama, USA)

Abstract

Measurement of dispersion and variation have been studied and evaluated in many applications. Volatility in the field of finance is an important measure as it directly impacts allocation, risk management, and valuation. Pitman Closeness criterion is used to compare estimators of standard deviation from equity returns in a control charting application. Three estimators are evaluated over the 30 DJIA component stocks in an effort to determine if one method of estimation has better performance within an application of control charting for identifying outliers. The study uses three sample sizes to also determine if the better estimator is sample size dependent.

Suggested Citation

  • CHOW Alan & LAHTINEN Kyre Dane & EDWARDS Kelsey, 2020. "Comparison Of Estimators Of Equity Return Standard Deviation Using Pitman Closeness Criterion And Control Charting Applications," Studies in Business and Economics, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 15(1), pages 5-12, April.
    • Handle: RePEc:blg:journl:v:15:y:2020:i:1:p:5-12
    as

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    References listed on IDEAS

    as
    1. Yihui Pan & Tracy Yue Wang & Michael S. Weisbach, 2015. "Learning About CEO Ability and Stock Return Volatility," The Review of Financial Studies, Society for Financial Studies, vol. 28(6), pages 1623-1666.
    2. Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Ebens, Heiko, 2001. "The distribution of realized stock return volatility," Journal of Financial Economics, Elsevier, vol. 61(1), pages 43-76, July.
    3. Bollerslev, Tim & Xu, Lai & Zhou, Hao, 2015. "Stock return and cash flow predictability: The role of volatility risk," Journal of Econometrics, Elsevier, vol. 187(2), pages 458-471.
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