Rossi, Eduardo; Magistris, Paolo Santucci de - School of Economics and Management, University of Aarhus - 2009
hours returns. Daily range-based volatility estimator is still 5
times more efficient than the traditional daily squared … analysis of the long memory property of range-based volatility estimator, assessing the
equality of the integration orders … fully
account of long-run equilibria in volatilities in order to obtain better forecasts.
Keywords. Range-based volatility …
