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dc.contributor.authorDokuchaev, Nikolai
dc.date.accessioned2017-01-30T14:40:37Z
dc.date.available2017-01-30T14:40:37Z
dc.date.created2013-09-17T20:00:40Z
dc.date.issued2013
dc.identifier.citationDokuchaev, Nikolai. 2013. Volatility estimation from short time series of stock prices. Journal of Nonparametric statistics. 26 (2): pp. 373-384.
dc.identifier.urihttp://hdl.handle.net/20.500.11937/40232
dc.identifier.doi10.1080/10485252.2013.844805
dc.description.abstract

We consider estimation of the historicalvolatility of stock prices. It is assumed that the stock prices arerepresented as time series formed as samples of the solution of astochastic differential equation with random and time varyingparameters; these parameters are not observable directly and haveunknown evolution law. The price samples are available with limitedfrequency only. In this setting, the estimation has to be based onshort time series, and the estimation error can be significant. Wesuggest some supplements to the existing non-parametric methods ofvolatility estimation. Two modifications of the standard summationformula for the volatility are derived. In addition, a lineartransformation eliminating the appreciation rate and preserving thevolatility is suggested.

dc.publisherTaylor & Francis
dc.subjectvolatility - estimation
dc.subjectnon-parametric estimation
dc.subjectshort time series
dc.subjecteconometrics
dc.titleVolatility estimation from short time series of stock prices
dc.typeJournal Article
dcterms.source.volume25
dcterms.source.issn10485252
dcterms.source.titleJournal of Nonparametric statistics
curtin.note

This is an Author's Accepted Manuscript of an article published in the Journal of Nonparametric statistics, 2013, copyright Taylor & Francis, available online at: <a href="http://www.tandfonline.com/10.1080/10485252.2013.844805">http://www.tandfonline.com/10.1080/10485252.2013.844805</a>

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curtin.accessStatusOpen access


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