Ozgur (Ozzy) Akay; Griffiths, Mark D.; Winters, Drew B. - In: Journal of Financial Research 33 (2010) 2, pp. 179-199
<heading id="h1" level="1" implicit="yes" format="display">Abstract</heading>We empirically examine Parkinson's range-based volatility estimate in the federal funds market, which is unique because institutional regulations create a predictable pattern in interday volatility. We find that range-based volatility estimates and standard deviations produce the...
