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

Pierre Vallois; Charles S. Tapiero

doi:10.1016/j.physa.2007.12.018

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

Pierre Vallois, Charles S. Tapiero

Finance and Risk Engineering

Research output: Contribution to journal › Article › peer-review

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 language	English (US)
Pages (from-to)	2565-2574
Number of pages	10
Journal	Physica A: Statistical Mechanics and its Applications
Volume	387
Issue number	11
DOIs	https://doi.org/10.1016/j.physa.2007.12.018
State	Published - Apr 15 2008

Keywords

Range process
Risk
Volatility

ASJC Scopus subject areas

Statistics and Probability
Condensed Matter Physics

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10.1016/j.physa.2007.12.018

Cite this

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AB - 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.

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

Abstract

Keywords

ASJC Scopus subject areas

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