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- W1701297807 abstract "We present a new theory of homogeneous volatility (and variance) estimators for arbitrary stochastic processes. The main tool of our theory is the parsimonious encoding of all the information contained in the OHLC prices for a given time interval by the joint distributions of the high-minusopen, low-minus-open and close-minus-open values, whose analytical expression is derived exactly for Wiener processes with drift. The efficiency of the new proposed estimators is favorably compared with that of the Garman-Klass, Roger-Satchell and maximum likelihood estimators." @default.
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- W1701297807 date "2009-01-01" @default.
- W1701297807 modified "2023-09-23" @default.
- W1701297807 title "Most Efficient Homogeneous Volatility Estimators" @default.
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- W1701297807 doi "https://doi.org/10.2139/ssrn.1470004" @default.
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