Volatility estimators and the inverse range process in a random volatility random walk and Wiener processes

Pierre Vallois, Charles S. Tapiero

Research output: Contribution to journalArticle

Abstract

The purpose of this paper is to study the mean, the variance, the probability distribution and the hazard rate of the inverse range process of an a-priori unknown volatility random walk. Motivation for this process arises when it is necessary to obtain statistics that pertain to a process volatility in addition to the usual variance statistics. As a result, range process statistics are indicated as an additional source of information in the study of processes' volatility. Examples and applications are considered.

Original languageEnglish (US)
Pages (from-to)2565-2574
Number of pages10
JournalPhysica A: Statistical Mechanics and its Applications
Volume387
Issue number11
DOIs
StatePublished - Apr 15 2008

Keywords

  • Range process
  • Risk
  • Volatility

ASJC Scopus subject areas

  • Statistics and Probability
  • Condensed Matter Physics

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