We present a novel empirical approach based on categorizing systematic risk, the beta of a stock, for evaluating the performance of two recently reported interval estimation methods, the asymptotic and the wild bootstrap, suitable for estimation from high-frequency data. In a dual-beta context,...

In this paper we motivate, specify and estimate a model in which the intra-day volatilty process affects the inter-transaction duration process and vice versa. In order to solve the estimation problems implied by this interdependent formulation, we first propose a GMM estimation procedure for...

In this paper we motivate, specify and estimate a model in which the intra-day volatilty process affects the inter-transaction duration process and vice versa. In order to solve the estimation problems implied by this interdependent formulation, we first propose a GMM estimation procedure for...