Measuring volatility with the realized range
Year of publication: |
2006-02-28
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Authors: | Martens, M.P.E. ; Dijk, D.J.C. van |
Institutions: | Erasmus University Rotterdam, Econometric Institute |
Subject: | realized volatility | high-low range | high-frequency data | market microstructure noise | bias-correction |
Extent: | application/pdf |
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Series: | Econometric Institute Report. - ISSN 1566-7294. |
Type of publication: | Book / Working Paper |
Notes: | The text is part of a series RePEc:dgr:eureir Number EI 2006-10 |
Source: |
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