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dc.contributor.authorMolnàr, Peter
dc.date.accessioned2015-02-13T12:53:31Z
dc.date.accessioned2015-02-20T09:13:05Z
dc.date.available2015-02-13T12:53:31Z
dc.date.available2015-02-20T09:13:05Z
dc.date.issued2012
dc.identifier.citationInternational Review of Financial Analysis 2012, 23:20-29nb_NO
dc.identifier.issn1057-5219
dc.identifier.urihttp://hdl.handle.net/11250/276851
dc.descriptionThis 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.abstractVolatility 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.isoengnb_NO
dc.publisherElsevier Ltd.nb_NO
dc.subjectvolatilitynb_NO
dc.subjecthighnb_NO
dc.subjectlownb_NO
dc.subjectrangenb_NO
dc.titleProperties of range-based volatility estimatorsnb_NO
dc.typeJournal articlenb_NO
dc.typePeer reviewednb_NO
dc.date.updated2015-02-13T12:53:31Z
dc.source.pagenumber20-29nb_NO
dc.source.volume23nb_NO
dc.source.journalInternational Review of Financial Analysisnb_NO
dc.identifier.doi10.1016/j.irfa.2011.06.012
dc.identifier.cristin860327


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