Garman-Klass、Parkinson、Roger-Satchell 与桥式估计量的比较统计
统计金融
2012-02-21 v1 风险管理
摘要
本文讨论了 Parkinson、Garman-Klass、Roger-Satchell 及桥式波动估计量的比较统计性质。考虑了与上述估计量相关的点估计和区间估计。
引用
@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}
}
备注
18 pages, 12 figures