van Dijk, Dick; Bannouh, Bannouh, K.; Martens, Martens, … - Faculteit der Economische Wetenschappen, Erasmus … - 2008
We introduce the realized co-range, utilizing intraday high-low price ranges to estimate asset return covariances. Using simulations we find that for plausible levels of bid-ask bounce and infrequent and non-synchronous trading the realized co-range improves upon the realized covariance, which...