direction of company-specific news. Information-implied reactions in returns, volatility as well as liquidity demand and supply … London Stock Exchange (LSE), we find market-wide robust news-dependent responses in volatility and trading volume. However …

.28% with a half-life of 0.92 days. Price pressure causes average transitory volatility in daily stock returns of 0.49%. Price …

plausible size, and the estimation precision is much higher than in previous studies that use the canonical CBM. Our results …

-frequency volatility, cumulative trading volumes, trade counts and market depth of various stocks traded at the NYSE, we show that the …

solubility and weak identification. We propose a twostep estimation strategy that combines GMM and SMM, and for which we elicit … moments when necessary and determine the crucial factors required for both identification and reasonable estimation precision … estimation of a non-linear dynamic asset pricing model. Our study provides a blueprint for successful estimation of the LRR model. …

highfrequency financial market data modeling realized volatility has become a new and innovative research direction. By constructing … observable or realized volatility series from intraday transaction data, the use of standard time series models, such as ARFIMA … models, have become a promising strategy for modeling and predicting (daily) volatility. In this paper, we show that the …