{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,8,18]],"date-time":"2026-08-18T01:56:01Z","timestamp":1787018161121,"version":"build-2736575974"},"reference-count":32,"publisher":"MIT Press","issue":"4","content-domain":{"domain":["direct.mit.edu"],"crossmark-restriction":true},"short-container-title":[],"published-print":{"date-parts":[[2024,7,8]]},"abstract":"<jats:title>Abstract<\/jats:title>\n                  <jats:p>We propose an Optimal candlesticK (OK) estimator for the spot volatility using high-frequency candlestick observations. Under a standard infill asymptotic setting, we show that the OK estimator is asymptotically unbiased and has minimal asymptotic variance within a class of linear estimators. Its estimation error can be coupled by a Brownian functional, which permits valid inference. Our theoretical and numerical results suggest that the proposed candlestick-based estimator is much more accurate than the conventional spot volatility estimator based on high-frequency returns. An empirical illustration documents the intraday volatility dynamics of various assets during the Fed chairman\u2019s recent congressional testimony.<\/jats:p>","DOI":"10.1162\/rest_a_01203","type":"journal-article","created":{"date-parts":[[2022,5,16]],"date-time":"2022-05-16T16:11:09Z","timestamp":1652717469000},"page":"1114-1128","update-policy":"https:\/\/doi.org\/10.1162\/mitpressjournals.corrections.policy","source":"Crossref","is-referenced-by-count":17,"title":["Reading the Candlesticks: An OK Estimator for Volatility"],"prefix":"10.1162","volume":"106","author":[{"given":"Jia","family":"Li","sequence":"first","affiliation":[{"name":"Singapore Management University"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Dishen","family":"Wang","sequence":"additional","affiliation":[{"name":"Derivatives China Capital"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Qiushi","family":"Zhang","sequence":"additional","affiliation":[{"name":"University of 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