This study proposes a new approach to the estimation of daily volatility in financial markets. To do this we evaluate a number of traditional estimators of daily volatility based upon intra-day data and propose a new estimator of daily volatility based upon intra-day data which is both unbiased...

This study proposes a new approach to the estimation of daily realised volatility in financial markets from intraday data. We use a weak set of assumptions about the data generating process for intraday returns, including transaction returns, given in den Haan and Levin (1996), which allows for...