the web's biggest credit risk modeling resource.

Credit Jobs

Home Glossary Links FAQ / About Site Guide Search

Submit Your Paper

In Rememberance: World Trade Center (WTC)

Export citation to:
- Text (plain)
- BibTeX

Garman, Mark B. and Michael J. Klass, "On the Estimation of Security Price Volatilities from Historical Data", Journal of Business, Vol. 53, No. 1, (January 1980), pp. 67-78.

Abstract: Improved estimators of security price volatilities are formulated. These estimators employ data of the type commonly found in the financial pages of a newspaper: the high, low, opening, and closing prices and the transaction volume. The new estimators are seen to have relative efficiencies that are considerably higher than the standard estimators.

Books Referenced in this paper:  (what is this?)