Homogeneous Volatility Bridge Estimators

Econometrics Journal, Vol. 10, pp. 1–25, 2010

Swiss Finance Institute Research Paper No. 09-46

28 Pages Posted: 20 Dec 2009

See all articles by Alexander I. Saichev

Alexander I. Saichev

ETH Zurich - D-MTEC (Deceased)

Didier Sornette

ETH Zürich - Department of Management, Technology, and Economics (D-MTEC); Swiss Finance Institute

Vladimir Filimonov

Swiss Federal Institute of Technology Zurich (ETH Zurich)

Fulvio Corsi

University of Pisa - Department of Economics; City University London

Abstract

We present a theory of homogeneous volatility bridge estimators for log-price stochastic processes. The main tool of our theory is the parsimonious encoding of the information contained in the open, high and low prices of incomplete bridge, corresponding to given log-price stochastic process, and in its close value, for a given time interval. The efficiency of the new proposed estimators is favorably compared with that of the Garman-Klass and Parkinson estimators.

Keywords: volatility, variance, estimators, efficiency, Wiener processes, homogeneous functions

JEL Classification: C02, C4, C6

Suggested Citation

Saichev, Alexander I. and Sornette, Didier and Filimonov, Vladimir and Corsi, Fulvio, Homogeneous Volatility Bridge Estimators. Econometrics Journal, Vol. 10, pp. 1–25, 2010; Swiss Finance Institute Research Paper No. 09-46. Available at SSRN: https://ssrn.com/abstract=1523225

Alexander I. Saichev

ETH Zurich - D-MTEC (Deceased)

Didier Sornette (Contact Author)

ETH Zürich - Department of Management, Technology, and Economics (D-MTEC) ( email )

Scheuchzerstrasse 7
Zurich, ZURICH CH-8092
Switzerland
41446328917 (Phone)
41446321914 (Fax)

HOME PAGE: http://www.er.ethz.ch/

Swiss Finance Institute

c/o University of Geneva
40, Bd du Pont-d'Arve
CH-1211 Geneva 4
Switzerland

Vladimir Filimonov

Swiss Federal Institute of Technology Zurich (ETH Zurich) ( email )

Scheuchzerstrasse 7, SEC F3
Zurich, CH-8092
Switzerland

Fulvio Corsi

University of Pisa - Department of Economics ( email )

via Ridolfi 10
I-56100 Pisa, PI 56100
Italy

HOME PAGE: http://people.unipi.it/fulvio_corsi/

City University London ( email )

Northampton Square
London, EC1V OHB
United Kingdom

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