Martens, M.P.E.; Dijk, D.J.C. van - Erasmus University Rotterdam, Econometric Institute - 2006
Realized variance, being the summation of squared intra-day returns, has quickly gained popularity as a measure of daily volatility. Following Parkinson (1980) we replace each squared intra-day return by the high-low range for that period to create a novel and more efficient estimator called the...
