look-ahead bias, we re-estimate expected idiosyncratic volatility using information only up to time t - 1. We find no …

We introduce a heuristic bias-adjustment for the transaction price-based realized range estimator of daily volatility …) biased or not, which we use for a more refined bias-adjustment of the realized range estimator. Both Monte Carlo simulations … measures and ex ante forecasts based on the heuristically adjusted realized range compare favorably to existing bias …