Christensen, Kim; Podolskij, Mark - In: Journal of Financial Econometrics 10 (2012) 3, pp. 417-456
In this paper, we present a realized range-based multipower variation theory, which can be used to estimate return variation and draw jump-robust inference about the diffusive volatility component, when a high-frequency record of asset prices is available. The standard range-statistic--routinely...
