volatility estimation. In particular, we use market microstructure theory to derive the cross-correlation function between latent … returns and market microstructure noise, which feature prominently in the recent volatility literature. The cross-correlation … geometrically. If market makers are sufficiently risk averse, however, the cross-correlation pattern is inverted. Our results are …

high volatility are followed by periods of low volatility. For instance, the turbulent 1970s were followed by the much more … tranquil times of the great moderation from 1984 to 2007. Modeling these movements in volatility is important to understand the … different mechanisms proposed in the literature to generate changes in volatility similar to the ones observed in the data …

pressure and increased volatility in financial markets. Pension funds increased cash holdings as a response. Our findings …

It is a common practice in finance to estimate volatility from the sum of frequently-sampled squared returns. However …-time assumption on the underlying returns. Under our framework, it becomes clear why and where the usual' volatility estimator fails …

This paper develops mew robust inference procedures for analyzing the intraday return volatility patterns that …, Lyons, and Melvin (1998) (ILM) argue that this deregulation resulted in a highly significant shift in the volatility pattern …

We extend range-based volatility estimation to the multivariate case. In particular, we propose a range …