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Efficiency and probabilistic properties of bridge volatility estimator

Author

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  • Lapinova, S.
  • Saichev, A.
  • Tarakanova, M.

Abstract

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.

Suggested Citation

  • Lapinova, S. & Saichev, A. & Tarakanova, M., 2013. "Efficiency and probabilistic properties of bridge volatility estimator," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(6), pages 1439-1451.
    • Handle: RePEc:eee:phsmap:v:392:y:2013:i:6:p:1439-1451
    DOI: 10.1016/j.physa.2012.11.047
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    References listed on IDEAS

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    8. Zhang, Lan & Mykland, Per A. & Ait-Sahalia, Yacine, 2005. "A Tale of Two Time Scales: Determining Integrated Volatility With Noisy High-Frequency Data," Journal of the American Statistical Association, American Statistical Association, vol. 100, pages 1394-1411, December.
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    Cited by:

    1. A. Saichev & D. Sornette & V. Filimonov & F. Corsi, 2014. "Bridge homogeneous volatility estimators," Quantitative Finance, Taylor & Francis Journals, vol. 14(1), pages 87-99, January.

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