Parkinson Volatility (jump-adjusted)

Compute the jump-adjusted Parkinson volatility of an asset over a given time period, using open, high, low and close prices.

References

• Colin Bennett, Trading Volatility, Correlation, Term Structure and Skew
• Parkinson, Michael H., The Extreme Value Method for Estimating the Variance of the Rate of Return, The Journal of Business 53 (1980), 61-65
• Yang, D., and Q. Zhang, 2000, Drift-Independent Volatility Estimation Based on High, Low, Open, and Close Prices, Journal of Business 73:477–491