Comparative statistics of Garman-Klass, Parkinson, Roger-Satchell and bridge estimators

Details Comparative statistics of Garman-Klass, Parkinson, Roger-Satchell and bridge estimators Comparative statistics of Garman-Klass, Parkinson, Roger-Satchell and bridge estimators

2012-02-20

arxiv.org/abs/1202.4311v1

Economy

Quantitative Finance

Statistical Finance

18 pages, 12 figures

Scientific paper

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

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