Empirical bias in intraday volatility measures

Intraday volatility measures have recently become the norm in risk measurement and forecasting. This article empirically investigates the unbiasedness of three of these measures over four different datasets. We find that the three measures are significantly biased and that the bias can have either sign.

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Year of publication:	2012
Authors:	Fang, Yan ; Ielpo, Florian ; Sévi, Benoît
Published in:	Finance Research Letters. - Elsevier, ISSN 1544-6123. - Vol. 9.2012, 4, p. 231-237
Publisher:	Elsevier
Subject:	Volatility models \| Jumps \| Realized volatility \| Bipower variation

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Type of publication:	Article
Classification:	C32 - Time-Series Models ; G1 - General Financial Markets
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010595302