Estimating Daily Volatility in Financial Markets Utilizing Intraday Data
AbstractThis study proposes a new approach to the estimation of daily volatility in financial markets. To do this we evaluate a number of traditional estimators of daily volatility based upon intra-day data and propose a new estimator of daily volatility based upon intra-day data which is both unbiased and efficient.
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Bibliographic InfoPaper provided by School of Economics, La Trobe University in its series Working Papers with number 1999.01.
Length: 20 pages
Date of creation: 1999
Date of revision:
Financial Market; Volatility; Business Cycles EDIRC Provider-Institution: RePEc:edi:smlatau;
Other versions of this item:
- Bollen, Bernard & Inder, Brett, 2002. "Estimating daily volatility in financial markets utilizing intraday data," Journal of Empirical Finance, Elsevier, vol. 9(5), pages 551-562, December.
- Bernard Bollen & Brett Inder, 1999. "Estimating Daily Volatility in Financial Markets Utilizing Intraday Data," Working Papers 1999.01, School of Economics, La Trobe University.
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