Bannouh, Karim; Martens, Martin; van Dijk, Dick - In: The North American Journal of Economics and Finance 26 (2013) C, pp. 535-551
We introduce a heuristic bias-adjustment for the transaction price-based realized range estimator of daily volatility …) biased or not, which we use for a more refined bias-adjustment of the realized range estimator. Both Monte Carlo simulations … measures and ex ante forecasts based on the heuristically adjusted realized range compare favorably to existing bias …