Volatility measurement with pockets of extreme return persistence
存在局部极端收益持续性时的波动率测量
Increasing evidence points towards the episodic emergence of pockets with extreme return persistence. This notion refers to intraday periods of non-trivial duration, for which stock returns are highly positively autocorrelated. Such episodes include, but are not limited to, gradual jumps and prolonged bursts in the drift component. In this paper, we develop a family of integrated volatility estimators, labeled differenced-return volatility (DV) estimators, which provide…