An application of the method of moments to range-based volatility estimation using daily high, low, opening, and closing (HLOC) prices
Cristin Buescu; Michael Taksar; Fatoumata J. Koné
| Year of publication: |
2013
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|---|---|
| Authors: | Buescu, Cristin ; Taksar, Michael I. ; Koné, Fatoumata J. |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 16.2013, 5, p. 1-24
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| Subject: | Range-based volatility estimation | method of moments | daily high, low | opening and closing prices | range of arithmetic Brownian motion | algorithmic trading | Volatilität | Volatility | Momentenmethode | Method of moments | Schätztheorie | Estimation theory | Börsenkurs | Share price | Stochastischer Prozess | Stochastic process |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009784042