AN APPLICATION OF THE METHOD OF MOMENTS TO RANGE-BASED VOLATILITY ESTIMATION USING DAILY HIGH, LOW, OPENING, AND CLOSING (HLOC) PRICES (Q2853373): Difference between revisions
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Property / author: Michael I. Taksar / rank | |||
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Property / MaRDI profile type: MaRDI publication profile / rank | |||
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Property / arXiv ID: 1112.4534 / rank | |||
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Property / cites work: Q5560061 / rank | |||
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Property / cites work: The Asymptotic Distribution of the Range of Sums of Independent Random Variables / rank | |||
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Property / cites work: Q3808989 / rank | |||
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Property / cites work: Q4794126 / rank | |||
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Property / cites work: On the maximum drawdown of a Brownian motion / rank | |||
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Property / cites work: Estimating variance from high, low and closing prices / rank | |||
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Property / cites work: Estimating correlation from high, low, opening and closing prices / rank | |||
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Latest revision as of 11:36, 30 July 2024
scientific article
Language | Label | Description | Also known as |
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English | AN APPLICATION OF THE METHOD OF MOMENTS TO RANGE-BASED VOLATILITY ESTIMATION USING DAILY HIGH, LOW, OPENING, AND CLOSING (HLOC) PRICES |
scientific article |
Statements
AN APPLICATION OF THE METHOD OF MOMENTS TO RANGE-BASED VOLATILITY ESTIMATION USING DAILY HIGH, LOW, OPENING, AND CLOSING (HLOC) PRICES (English)
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21 October 2013
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range-based volatility estimation
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method of moments
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daily high, low, opening and closing process
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range of arithmetic Brownian motion
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algorithmic trading
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