AN APPLICATION OF THE METHOD OF MOMENTS TO RANGE-BASED VOLATILITY ESTIMATION USING DAILY HIGH, LOW, OPENING, AND CLOSING (HLOC) PRICES
Publication:2853373
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
method of momentsalgorithmic tradingdaily high, low, opening and closing processrange of arithmetic Brownian motionrange-based volatility estimation
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