certain foreign exchange and U.S. Treasury security returns without contaminating estimates of their integrated volatility … with market microstructure noise. Using volatility signature plots and a recently-proposed formal decision rule to select … contaminating volatility estimates; bond returns may be sampled as frequently as once every 2 to 3 minutes on days without U …

We analyze the factors driving the widely-noted persistence in asset return volatility using a unique dataset on global … euro-dollar exchange rate trading. We propose a new simple empirical specification of volatility, based on the Kyle …-model, which links volatility to the information flow, measured as the order flow in the market, and the price sensitivity to that …