Estimates of daily volatility are investigated. Realized volatility can be computed from returns observed over time … intervals of different sizes. For simple statistical reasons, volatility estimators based on high-frequency returns have been … incoherent price formation, which leads to a strong negative first-order auto- correlation for tick-by-tick returns and to the …

volatility in the other market negatively. This spurious correlation is explained by the negative correlations of macroeconomic … and volatility of the Shanghai market were higher. The rates of returns in the two markets were approximately serially … uncorrelated and mutually uncorrelated. Volatility, as measured by the absolute change in the rate of return, has positive serially …

We consider the hedging of options when the price of the underlying asset is always exposed to the possibility of jumps … hedge in the presence of jumps cannot be improved upon by increasing the rebalancing frequency. In contrast, the superior … empirical support for the existence of jumps of random size in the movement of the S&P 500 index. We also find that the …

volatility, and the specification of the volatility process itself. Our estimation of a variety of model specifications indicates …

The serial correlation effects which non-synchronous trading can induce in financial data have been documented by …

premium on the volatility, generates positive feedbacks that might explain volatility bursts. …

This paper studies the effect of clustering of liquidity trades on intraday patterns of volatility and market depth … patterns of information arrival and information use. Our results are: (i) volatility follows the same pattern as liquidity …