By Pierre Lequeux
I am rather on realizing HOW hedge money like Renaissance exchange and stuff, yet on account that I dont comprehend complicated math I dont be aware of if I should purchase this...
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J. and Zhuanxin, D. (1994), Stylized Facts on the Temporal Distributional Properties of Daily Data from Speculative Markets, ~ o ~ ~Pap~r. , Qlsen. R and Pictet, 0. (1994), "From the Bird's Eye to the Microscope: A Surveyof Ne Stylized Facts of the Intra-daily ForeignExchangeMarkets", ~ o r ~ i Paper, ng A Research Group. Heynen, R. and Kat, H. Volatility,in Advanced Applicationsin Finance,T. Schneeweis and D. Ho, (eds), Kluwer Academic Publishing, 1993. (1992), "Improving the Parkinson Method of Estimating Security s, Price Volatilities",~ o ~ r n aofZ~ ~ s i n e s65,295-302.
There are a n of possible explanations for the reduced efficiency. First, if vola~lity is timevarying, a given sample is likely to have a greater concen~ationof high or low volatility periods than the population as a whole, resulting in great E ~ c i e Esti~ation n~ of Intra-day Volatility 15 rii E ~ c i e n t E s t i ~oftri n o ~t r ~ - Vol~tiZity ~~y 17 dispersion of estimates. , 1994, and Granger and Ding, 1994). The efficiencyof all the variance estimates decreases as the tail thickness increases, and the decrease in efficiency is more pronounced for range-based estimators than for the closing price estimator.
S, Parkinson, M. (1980), T h e Extreme Value Method for Estimating the Variance of the Rate of Return", ~ o ~ r ofn ~a ~~s i n e s53,61-66. G. E. (1991), " E s t ~ a ~Variance g from High, Low, and Closing Prices",The ~ n n a l of s AppZied P r o ~ a ~ i Z1,504-512. G. E. and Yoon,Y. (1994), "Estimating the Volatility of Stock Prices: A Comparison of Methods thatUse High and Low Prices", AppZied Financial Econo~ics,4,241 -47. (1994)"Proposal for a derivative security based on the range of anoth security", Working Paper, Universityof Massachussetts.