Starting from Feller's density for the range of standard Brownian motion on : (a) Derive , justifying the interchange of sum and integral. (b) Deduce the variance of the per-day Parkinson estimator and its efficiency relative to . (c) How many days of Parkinson estimates give the same standard error of as 252 days of squared close-to-close returns? What is the relative standard error of from 20 days of each?
M09 · Problem 2 ★★ Check
The fourth moment of the range and Parkinson's efficiency
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