Martens, M.P.E.; Dijk, D.J.C. van - Erasmus University Rotterdam, Econometric Institute - 2006
realized range.
Keywords: Realized volatility; high-low range; high-frequency data; market
microstructure noise, bias …. However, it is often claimed that the daily range is more robust against
the effects of market microstructure noise than the … market microstructure noise. Section 3 describes the design and results of
the simulation experiments that illustrate the …