摘要： This paper proposes a new class of estimators based on the interquantile range of intraday returns, referred to as interquantile range based volatility (IQRBV), to estimate the integrated daily volatility. More importantly and intuitively, it is shown that a properly chosen IQRBV is jump-free for its trimming of the intraday extreme two tails that utilize the range between symmetric quantiles. We exploit its approximation optimality by examining a general class of distributions from the Pearson type IV family and recommend using IQRBV .04 as the integrated variance estimate. Both our simulation and the empirical results highlight interesting features of the easy-to-implement and model-free IQRBV over the other competing estimators that are seen in the literature. 其他題名： Rev Quant Finan Acc 出版者： Boston: Springer US 出版日期： 2014-11-01 出處： Review of quantitative finance and accounting, 2014-11, Vol.43 (4), p.751-779 資源來源： SpringerLink Journals 版權： Springer Science+Business Media New York 2013 版權： Springer Science+Business Media New York 2014 識別號： ISSN: 0924-865X 識別號： EISSN: 1573-7179 識別號： DOI: 10.1007/s11156-013-0391-7
