In this paper, we assess the size and power properties of Inclan and Tiao's (1994) Iterated Cumulative Sum of Squares (IT ICSS) algorithm for detecting sudden changes in volatility. We make use of the variance estimator that utilizes high, low and closing prices proposed by Rogers and Satchell...

We propose and implement an empirical automatic bias correction (ABC) procedure for correcting the downward bias in the volatility estimators that utilize extreme value of asset prices. The bias originates from the random walk effect. The proposed estimator does not require knowledge of N, the...

In this paper, we derive a reflection principle for a random walk with the symmetric double exponential distribution. This allows us to come up with the closed form solution for the joint probability of the running maximum and the terminal value of the random walk. Based on this new theoretical...