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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| Main Authors: | , , |
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| 格式: | text |
| 語言: | English |
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Institutional Knowledge at Singapore Management University
2024
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| 在線閱讀: | 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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