Estimating Daily Volatility in Financial Markets Utilizing Intraday Data
This 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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|Date of creation:||1999|
|Date of revision:|
|Contact details of provider:|| Web page: http://www.latrobe.edu.au/economics|
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