Correcting Intraday Periodicity Bias in Realized Volatility Measures

Diurnal fluctuations in volatility are a well-documented stylized fact of intraday price data. This warrants an investigation how this periodicity (IP) affects both finite sample as well asymptotic properties several popular realized estimators daily integrated which based on functionals number returns. It turns out that most the considered study exhibit finite-sample bias due to IP, can however get negligible when returns diverges infinity. The appropriate correction factors for derived estimates IP. adequacy new corrections is evaluated by means Monte Carlo simulation and empirical example.