We introduce the realized co-range, a novel estimator of the daily covariance between asset returns based on intraday high-low price ranges. In an ideal world, the co-range is five times more efficient than the realized covariance, which uses cross-products of intraday returns, when sampling at...

We introduce a heuristic bias-adjustment for the transaction price-based realized range estimator of daily volatility in the presence of bid-ask bounce and non-trading. The adjustment is an extension of the estimator proposed in Christensen et al. (2009). We relax the assumption that all...

The study determines if information extracted from a big data set that includes limit order book (LOB) and Dow Jones corporate news can help to improve realised volatility forecasting for 23 NASDAQ tickers over the sample from 28 June 2007 to 17 November 2016. The out-of-sample forecasting...