In this study we estimate and compare the realized range volatility, a novel efficient volatility estimator computed by summing high-low ranges for intra-day intervals, to the recently popularized realized variance estimator obtained by summing squared intra-day returns. Our results derived from...

Following recent advances in the non-parametric realized volatility approach, we separately measure the discontinuous jump part of the quadratic variation process for individual stocks and incorporate it into heterogeneous autoregressive volatility models. We analyze the distributional...

Using a novel high-frequency data set, we examine the contribution of Greek trading to the price discovery process of a pair of Cypriot blue-chip, cross-listed stocks during overlapping trading hours. Additionally, we investigate the effects of market fragmentation on the home market's quality,...