Andersen, Torben G.; Bollerslev, Tim; Huang, Xin - In: Journal of Econometrics 160 (2011) 1, pp. 176-189
Building on realized variance and bipower variation measures constructed from high-frequency financial prices, we propose a simple reduced form framework for effectively incorporating intraday data into the modeling of daily return volatility. We decompose the total daily return variability into...