Khalifa, Ahmed A. A.; Miao, Hong; Ramchander, Sanjay - In: Journal of Futures Markets 31 (2011) 1, pp. 55-80
The characterization of return distributions and forecast of asset‐price variability play a critical role in the study of financial markets. This study estimates four measures of integrated volatility—daily absolute returns, realized volatility, realized bipower volatility, and integrated...