Martens, M.P.E.; Dijk, D.J.C. van - Erasmus University Rotterdam, Econometric Institute - 2006
daily volatility. Following Parkinson (1980) we replace each squared intra-day return by the high-low range for that period … daily volatility. Following Parkinson
(1980) we replace each squared intra-day return by the high-low range for
that period … realized range.
Keywords: Realized volatility; high-low range; high-frequency data; market
microstructure noise, bias …