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

Pierre Vallois, Charles 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

Fingerprint

volatility
Wiener Process
random walk
estimators
Volatility
Random walk
Estimator
variance (statistics)
statistics
Range of data
Statistics
hazards
Hazard Rate
Probability Distribution
Unknown
Necessary

Keywords

  • Range process
  • Risk
  • Volatility

ASJC Scopus subject areas

  • Mathematical Physics
  • Statistical and Nonlinear Physics

Cite this

Volatility estimators and the inverse range process in a random volatility random walk and Wiener processes. / Vallois, Pierre; Tapiero, Charles.

In: Physica A: Statistical Mechanics and its Applications, Vol. 387, No. 11, 15.04.2008, p. 2565-2574.

Research output: Contribution to journalArticle

@article{8e2265c540ab4ae798b55f92e6d9513b,
title = "Volatility estimators and the inverse range process in a random volatility random walk and Wiener processes",
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.",
keywords = "Range process, Risk, Volatility",
author = "Pierre Vallois and Charles Tapiero",
year = "2008",
month = "4",
day = "15",
doi = "10.1016/j.physa.2007.12.018",
language = "English (US)",
volume = "387",
pages = "2565--2574",
journal = "Physica A: Statistical Mechanics and its Applications",
issn = "0378-4371",
publisher = "Elsevier",
number = "11",

}

TY - JOUR

T1 - Volatility estimators and the inverse range process in a random volatility random walk and Wiener processes

AU - Vallois, Pierre

AU - Tapiero, Charles

PY - 2008/4/15

Y1 - 2008/4/15

N2 - 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.

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.

KW - Range process

KW - Risk

KW - Volatility

UR - http://www.scopus.com/inward/record.url?scp=39549106896&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=39549106896&partnerID=8YFLogxK

U2 - 10.1016/j.physa.2007.12.018

DO - 10.1016/j.physa.2007.12.018

M3 - Article

VL - 387

SP - 2565

EP - 2574

JO - Physica A: Statistical Mechanics and its Applications

JF - Physica A: Statistical Mechanics and its Applications

SN - 0378-4371

IS - 11

ER -