Estimating Daily Volatility in Financial Markets Utilizing Intraday Data

This study proposes a new approach to the estimation of daily volatility in financial markets. To do this we evaluate a number of traditional estimators of daily volatility based upon intra-day data and propose a new estimator of daily volatility based upon intra-day data which is both unbiased and efficient.

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Year of publication:	1999
Authors:	Bollen, Bernard ; Inder, Brett
Institutions:	Department of Economics and Finance, La Trobe Business School
Subject:	Financial Market \| Volatility \| Business Cycles

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Series:	Working Papers.
Type of publication:	Book / Working Paper
Notes:	Number 1999.01 20 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010541724