The sum of squared intraday returns provides an unbiased and almost error-free measure of ex-post volatility. In this paper we develop a nonlinear Autoregressive Fractionally Integrated Moving Average (ARFIMA) model for realized volatility, which accommodates level shifts, day-of-the-week...

U.S. trading in non-U.S. stocks has grown dramatically. Round-the-clock, these stocks trade in the home market, in the U.S. market and, potentially, in both markets simultaneously. We use a state space model to study 24-hour price discovery. As opposed to the standard "variance ratio'' approach,...

Most stock exchange regulators around the world reacted to the 2007-2009 crisis by

This note clarifies the relation between two competing definitions of the contribution to price discovery in market microstructure models: (i) the information share and (ii) the common factor component weight. It is demonstrated that the two measures are closely related, but that only the...