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Empirical bias in intraday volatility measures

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  • Fang, Yan
  • Ielpo, Florian
  • Sévi, Benoît

Abstract

Intraday volatility measures have recently become the norm in risk measurement and forecasting. This article empirically investigates the unbiasedness of three of these measures over four different datasets. We find that the three measures are significantly biased and that the bias can have either sign.

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Bibliographic Info

Article provided by Elsevier in its journal Finance Research Letters.

Volume (Year): 9 (2012)
Issue (Month): 4 ()
Pages: 231-237

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Handle: RePEc:eee:finlet:v:9:y:2012:i:4:p:231-237

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Web page: http://www.elsevier.com/locate/frl

Related research

Keywords: Volatility models; Jumps; Realized volatility; Bipower variation;

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References

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