• Generalized Variance: A Robust Estimator of Stock Price Volatility 

      Sutton, M; Vasnev, A; Gerlach, R
      Published 2015-04-30
      This paper proposes an ex-post volatility estimator, called generalized variance, that uses high frequency data to provide measurements robust to the idiosyncratic noise of stock markets caused by market microstructures. ...
      Open Access
      Working Paper