Reading the candlesticks: An OK estimator for volatility

Reading the candlesticks: An OK estimator for volatility

We propose an Optimal candlesticK (OK) estimator for the spot volatility using high-frequency candlestick observations. Under a standard infill asymptotic setting, we show that the OK estimator is asymptotically unbiased and has minimal asymptotic variance within a class of linear estimators. Its es...

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Bibliographic Details
Main Authors: LI, Jia, WANG, Dishen, ZHANG, Qiushi
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2024
Subjects:
Range-based estimation
microstructure noise
inference
Semimartingale
Volatility
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/2565
https://ink.library.smu.edu.sg/context/soe_research/article/3564/viewcontent/Reading_the_Candlesticks.pdf
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Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/soe_research/2565
https://ink.library.smu.edu.sg/context/soe_research/article/3564/viewcontent/Reading_the_Candlesticks.pdf

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