Doug Steigerwald
Department of Economics, University of California
Schedule
| Presenter | Paper | Time |
|---|---|---|
| Doug Steigerwald | The Extreme Value Method for Estimating the Variance of the Rate of Return M. Parkinson Journal of Business 53 (1980) On the Estimation of Security Price Volatilities from Historical Data M. Garman and M. Klass Journal of Business 53 (1980) Variance of Security Price Returns Based on High, Low and Closing Prices S. Beckers Journal of Business 56 (1983) Estimating Variance from High, Low and Closing Prices L. Rogers and S. Satchell Annals of Applied Probability 1 (1991) |
9:30 - 10:00 |
| Dylan D'Souza | ML Estimation of Security Price Volatility: Theory, Evidence and Application to Option Pricing C. Ball and W. Torous Journal of Business 57 (1984) |
10:30 - 11:05 |
| Fernando Lozano | Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts T. Andersen and T. Bollerslev International Economic Review 39 (1998) |
11:05 - 11:40 |
| John Owens | Range-Based Estimation of Stochastic Volatility Models S. Alizadeh, M. Brandt and F. Diebold manuscript (2000) |
11:40 - 12:15 |
Attendees: Yesim Tokat, Richard Vagnoni
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