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Empirical bias in intraday volatility measures

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

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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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
Contact details of provider: Web page: http://www.elsevier.com/locate/frl

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