Intraday Realized Volatility Measures

Stavros Degiannakis and Christos Floros

Chapter 2 in Modelling and Forecasting High Frequency Financial Data, 2015, pp 24-57 from Palgrave Macmillan

Abstract: Abstract This chapter presents techniques for the construction of realized volatility measures. The focus is on the creation of a realized volatility measure which will be accurate and straightforward to implement, i.e. not extremely complicated in its construction, not too time consuming in its computation.

Keywords: Price Range; Equidistant Point; Market Microstructure; Volatility Forecast; Microstructure Noise (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:pal:palchp:978-1-137-39649-5_2

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DOI: 10.1057/9781137396495_2

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