Estimating Daily Volatility from Intraday Data
AbstractThis study proposes a new approach to the estimation of daily volatility. This approach is different ( in the sense of using all available intraday price data) and unbiased ( in the sense of accounting for the high levels of autocorrelation found in intraday price data).
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Bibliographic InfoPaper provided by Monash University, Department of Econometrics and Business Statistics in its series Monash Econometrics and Business Statistics Working Papers with number 13/96.
Length: 20 pages
Date of creation: 1996
Date of revision:
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Postal: PO Box 11E, Monash University, Victoria 3800, Australia
Web page: http://www.buseco.monash.edu.au/depts/ebs/
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Find related papers by JEL classification:
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