Bridge homogeneous volatility estimators

DOI10.1080/14697688.2013.819985MaRDI QIDQ2879014zbMATH OpenOpenAlexFDO

Authors Alexander I. Saichev, D. Sornette, Francesco Corsi

Publication date 5 September 2014

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://openaccess.city.ac.uk/id/eprint/4430/1/bridgeQuantFin_3_rev-final.pdf

zbMATH Keywords

efficiencyvariancevolatilityhomogeneous functionsestimators

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Brownian motion (60J65) Stochastic models in economics (91B70)

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Cites work

• A Tale of Two Time Scales
• Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
• Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
• Estimating variance from high, low and closing prices
• Modeling and Forecasting Realized Volatility
• Modelling microstructure noise with mutually exciting point processes

Cited in

(2)

• The Garman-Klass volatility estimator revisited
• Equivalent Black volatilities

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