Caporin, Massimiliano; Velo, Gabriel G. - Dipartimento di Scienze Economiche "Marco Fanno", … - 2011
In this paper, we estimate, model and forecast Realized Range Volatility, a new realized measure and estimator of the quadratic variation of financial prices. This estimator was early introduced in the literature and it is based on the high-low range observed at high frequency during the day. We...
