. For this purpose, a HAR model of the realized range adjusted for discrete trading is augmented by each of these variables …

noise accumulates with the sampling frequency. In this paper, we analyze the impact of microstructure noise on the realized … range-based variance and propose a bias-correction to the rangestatistic. The new estimator is shown to be consistent for …

noise accumulates with the sampling frequency. In this paper, we analyze the impact of microstructure noise on the realized … range-based variance and propose a bias-correction to the rangestatistic. The new estimator is shown to be consistent for …

We introduce a heuristic bias-adjustment for the transaction price-based realized range estimator of daily volatility …) biased or not, which we use for a more refined bias-adjustment of the realized range estimator. Both Monte Carlo simulations … measures and ex ante forecasts based on the heuristically adjusted realized range compare favorably to existing bias …

the realized range in the presence of noise and non-trading, using CARRX models to study factors affecting the …