Optimal nonparametric range-based volatility estimation
We present a general framework for optimal nonparametric spot volatility estimation based on intraday range data, comprised of the first, highest, lowest, and last price over a given time-interval. We rely on a decision-theoretic approach together with a coupling-type argument to directly tailor the...
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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2024
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/2646 https://ink.library.smu.edu.sg/context/soe_research/article/3645/viewcontent/Decision_av_2023.pdf |
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| Institution: | Singapore Management University |
| Language: | English |