Have a personal or library account? Click to login
Comparison of Estimators of Equity Return Standard Deviation Using Pitman Closeness Criterion and Control Charting Applications Cover

Comparison of Estimators of Equity Return Standard Deviation Using Pitman Closeness Criterion and Control Charting Applications

Open Access
|May 2020

References

  1. Andersen, T.G., Bollerslev, T., Diebold, F.X., & Ebens, H. (2001). The distribution of realized stock return volatility. Journal of Financial Economics, 61, pp. 43–76.10.1016/S0304-405X(01)00055-1
  2. Bollerslev, T., Xu, L., & Zhou, H. (2015). Stock return and cash flow predictability: The role of volatility risk. Journal of Econometrics, 187, pp. 458–471.10.1016/j.jeconom.2015.02.031
  3. Chow, A.F., Chow, B., Hanumanth, S., & Wagner, T.A. (2007). Comparison of robust estimators of standard deviation in normal distributions within the context of quality control, Communications in Statistics Simulation and Computation. 36, pp. 891–899.
  4. Chow, A.F., Lahtinen, K.D., Pennywell, G. (2018) A comparison of index and equity volatility using range-based estimators. Journal of Business and Economic Perspectives, 45:1, pp. 10–22.
  5. Fama, E. F. (1965). The behavior of stock-market prices. The journal of Business, 38(1), 34-105.Grant, E.L. & Leavenworth, R.S. (1996). Statistical Quality Control, Seventh Edition, McGraw-Hill, New York, New York.10.1086/294743
  6. Linton, O.B. and Yan, Y. (2011).Semi- and Nonparametric ARCH Processes. Journal of Probability and Statistics, Article ID 906212, 17 pages. doi:10.1155/2011/90621210.1155/2011/906212
  7. Molnar, P. (2012). Properties of range-based volatility estimators. International Review of Financial Analysis, 23, pp. 20-29.10.1016/j.irfa.2011.06.012
  8. NIST/SEMATECH e-Handbook of Statistical Methods, http://www.itl.nist.gov/div898/handbook/, retrieved August 15, 2018.
  9. Pan, y., Wang, T.Y., & Weisbach, M.S. (2015). Learning about CEO ability and stock return volatility. Review of Financial Studies, 28, pp. 1623–1666.10.1093/rfs/hhv014
  10. Pitman, E. J. (1937). The “closest” estimates of statistical parameters. Proc. Cambridge Philosoph. Soc. 33, pp. 212–222.10.1017/S0305004100019563
  11. Shewhart, W. A. (1931). Economic Control of Manufactured Product. New York: D. Van Nostrand.
  12. Western Electric Company (1956). Statistical Quality Control Handbook. Chicago: American Telephone and Telegraph Company.
DOI: https://doi.org/10.2478/sbe-2020-0001 | Journal eISSN: 2344-5416 | Journal ISSN: 1842-4120
Language: English
Page range: 5 - 12
Published on: May 20, 2020
In partnership with: Paradigm Publishing Services
Publication frequency: 3 issues per year

© 2020 Chow Alan, Lahtinen Kyre Dane, Edwards Kelsey, published by Lucian Blaga University of Sibiu
This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.