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Regular version of the site

Working paper

Efficiency and Probabilistic Properties of Bridge Volatility Estimatort

Saichev A. I., Lapinova S. A., Tarakanova M. V.
We discuss 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 bridge estimator, are considerably more efficient than analogous estimations, resting on Parkinson, Garman-Klass and Roger-Satchell one.