AN APPLICATION OF THE METHOD OF MOMENTS TO RANGE-BASED VOLATILITY ESTIMATION USING DAILY HIGH, LOW, OPENING, AND CLOSING (HLOC) PRICES
From MaRDI portal
Publication:2853373
DOI10.1142/S021902491350026XzbMath1280.91074arXiv1112.4534MaRDI 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 moments; algorithmic trading; daily high, low, opening and closing process; range of arithmetic Brownian motion; range-based volatility estimation
91B70: Stochastic models in economics
60H30: Applications of stochastic analysis (to PDEs, etc.)
60J70: Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)
Cites Work