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Article

Efficiency and probabilistic properties of bridge volatility estimator

Physica A: Statistical Mechanics and its Applications. 2013. Vol. 392. No. 6. P. 1439-1451.
Lapinova S. A., Saichev A., Tarakanova M.

We discuss the efficiency of the quadratic bridge volatility estimator in comparison with Parkinson, Garman-Klass and Roger-Satchell estimators. It is shown in particular that point and interval estimations of volatility, resting on the bridge estimator, are considerably more efficient than analogous estimations, resting on the Parkinson, Garman-Klass and Roger-Satchell ones. © 2012 Elsevier B.V. All rights reserved.