van Dijk, Dick; Martens, Martens, M.P.E. - Faculteit der Economische Wetenschappen, Erasmus … - 2006
Realized variance, being the summation of squared intra-day returns, has quickly gained popularity as a measure of … to create a novel and more efficient estimator called the realized range. In addition we suggest a bias …-correction procedure to account for the effects of microstructure frictions based upon scaling the realized range with the average level of …