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Published 20 hours ago • verified publisher icon jasonstrimpel

Reworked Estimators and Added Hodges-Tompkins Oversampling Adjustment

Open dstadelman opened this issue 1 year ago • 0 comments

Lots of changes in here...

  • I spent time working through all the estimators, mostly for my own edification - but I found some different results on MSFT dataset. Maybe you want to ignore these... it would be ok with me.
  • I added Hodges-Tompkins oversampling adjustment factor to all the volatility estimators... this seems like a worthwhile change to me.

dstadelman avatar Jan 16 '23 00:01 dstadelman