Martens, M.P.E.; Dijk, D.J.C. van - Erasmus University Rotterdam, Econometric Institute - 2006
to create a novel and more efficient estimator called the realized range. In addition we suggest a bias-correction … to create a novel and more efficient estimator called the realized
range. In addition we suggest a bias-correction … realized range.
Keywords: Realized volatility; high-low range; high-frequency data; market
microstructure noise, bias-correction …