Yeh, Jin-Huei; Wang, Jying-Nan; Kuan, Chung-Ming - In: Review of Quantitative Finance and Accounting 43 (2014) 4, pp. 751-779
This paper proposes a new class of estimators based on the interquantile range of intraday returns, referred to as interquantile range based volatility (IQRBV), to estimate the integrated daily volatility. More importantly and intuitively, it is shown that a properly chosen IQRBV is jump-free...
