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Empirical bias in intraday volatility measures
Authors:Yan Fang  Florian Ielpo  Benoît Sévi
Institution:1. MUREX, 8 rue Bellini, 75782 Paris cedex 16, France;2. Banque Cantonale Vaudois, Place Saint François 14, P.O. Box 300, 1001 Lausanne, Switzerland;3. Aix-Marseille University (Aix-Marseille School of Economics), CNRS & EHESS, Château La Farge, Route des Milles, 13290 Les Milles, Aix-en-Provence, France;1. Center for the Study of Finance and Insurance, Osaka University, 1-3 Machikaneyama-cho, Toyonaka, Osaka 560-8531, Japan;2. Japan Science and Technology Agency, CREST, Japan;3. Graduate School of Mathematical Sciences, University of Tokyo, 3-8-1 Komaba, Meguro-ku, Tokyo 153-8914, Japan;1. Robert H. Smith School of Business, University of Maryland, United States;2. Department of Mathematics, Imperial College London, United Kingdom;3. Faculty of Mathematics and Economics, University of Ulm, Germany;1. Price College of Business, University of Oklahoma, 307 Brooks Street, Norman, OK 73019, United States;2. William E. Simon Graduate School of Business Administration, University of Rochester, Rochester, NY 14627, United States
Abstract: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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