AN APPLICATION OF THE METHOD OF MOMENTS TO RANGE-BASED VOLATILITY ESTIMATION USING DAILY HIGH, LOW, OPENING, AND CLOSING (HLOC) PRICES

DOI10.1142/S021902491350026XzbMath1280.91074arXiv1112.4534OpenAlexW2009136082MaRDI QIDQ2853373

Cristin Buescu, Fatoumata J. Koné, Michael I. Taksar

Publication date: 21 October 2013

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1112.4534

zbMATH Keywords

method of momentsalgorithmic tradingdaily high, low, opening and closing processrange of arithmetic Brownian motionrange-based volatility estimation

Mathematics Subject Classification ID

Cites Work

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• Estimating variance from high, low and closing prices
• Estimating correlation from high, low, opening and closing prices
• On the maximum drawdown of a Brownian motion
• The Asymptotic Distribution of the Range of Sums of Independent Random Variables

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