Bannouh, Karim; Dijk, Dick van; Martens, Martin - In: Journal of Financial Econometrics 7 (2009) 4, pp. 341-372
We introduce the realized co-range, a novel estimator of the daily covariance between asset returns based on intraday high--low price ranges. In an ideal world, the co-range is five times more efficient than the realized covariance, which uses cross-products of intraday returns, when sampling at...