Estimating Daily Volatility from Intraday Data
This 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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|Date of creation:||1996|
|Date of revision:|
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Web page: http://www.buseco.monash.edu.au/depts/ebs/
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