dc.contributor.author | Molnàr, Peter | |
dc.date.accessioned | 2015-02-13T12:53:31Z | |
dc.date.accessioned | 2015-02-20T09:13:05Z | |
dc.date.available | 2015-02-13T12:53:31Z | |
dc.date.available | 2015-02-20T09:13:05Z | |
dc.date.issued | 2012 | |
dc.identifier.citation | International Review of Financial Analysis 2012, 23:20-29 | nb_NO |
dc.identifier.issn | 1057-5219 | |
dc.identifier.uri | http://hdl.handle.net/11250/276851 | |
dc.description | This is a pre-copyedited, author-produced PDF of an article accepted for publication in International Review of Financial Analysis, following peer review. The final publication International Review of Financial Analysis 2012, 23:20-29 is available at Elsevier via DOI: 10.1016/j.irfa.2011.06.012 . | nb_NO |
dc.description.abstract | Volatility is not directly observable and must be estimated. Estimator based on
daily close data is imprecise. Range-based volatility estimators provide significantly more precision, but still remain noisy volatility estimates, something that
is sometimes forgotten when these estimators are used in further calculations.
First, we analyze properties of these estimators and find that the best estimator
is the Garman-Klass (1980) estimator. Second, we correct some mistakes
in existing literature. Third, the use of the Garman-Klass estimator allows us to
obtain an interesting result: returns normalized by their standard deviations are
approximately normally distributed. This result, which is in line with results
obtained from high frequency data, but has never previously been recognized in
low frequency (daily) data, is important for building simpler and more precise
volatility models. | nb_NO |
dc.language.iso | eng | nb_NO |
dc.publisher | Elsevier Ltd. | nb_NO |
dc.subject | volatility | nb_NO |
dc.subject | high | nb_NO |
dc.subject | low | nb_NO |
dc.subject | range | nb_NO |
dc.title | Properties of range-based volatility estimators | nb_NO |
dc.type | Journal article | nb_NO |
dc.type | Peer reviewed | nb_NO |
dc.date.updated | 2015-02-13T12:53:31Z | |
dc.source.pagenumber | 20-29 | nb_NO |
dc.source.volume | 23 | nb_NO |
dc.source.journal | International Review of Financial Analysis | nb_NO |
dc.identifier.doi | 10.1016/j.irfa.2011.06.012 | |
dc.identifier.cristin | 860327 | |