Comparative statistics of Garman-Klass, Parkinson, Roger-Satchell and bridge estimators
Statistical Finance
2012-02-21 v1 Risk Management
Abstract
Comparative statistical properties of Parkinson, Garman-Klass, Roger-Satchell and bridge oscillation estimators are discussed. Point and interval estimations, related with mentioned estimators are considered
Keywords
Cite
@article{arxiv.1202.4311,
title = {Comparative statistics of Garman-Klass, Parkinson, Roger-Satchell and bridge estimators},
author = {Alexander Saichev and Svetlana Lapinova},
journal= {arXiv preprint arXiv:1202.4311},
year = {2012}
}
Comments
18 pages, 12 figures