specifications of high-dimensional trading processes. It turns out that common shocks affect the return volatility and the trading …

Measuring and modeling financial volatility is the key to derivative pricing, asset allocation and risk management ….The recent availability of high-frequency data allows for refined methods in this field.In particular, more precise measures for … the daily or lower frequency volatility can be obtained by summing over squared high-frequency returns.In turn, this so …

In this paper, we study the dynamic interdependencies between high-frequency volatility, liquidity demand as well as …. Liquidity is causal for future volatility but not vice versa. Furthermore, trade sizes are negatively driven by past trading … ; volatility ; liquidity ; high-frequency data …

reflect information-driven and noise-induced volatilities. We find that all volatility components reveal distinct dynamics and … significantly declines thereafter. Moreover, news-affected responses in all volatility components are influenced by order flow … imbalances. -- efficient return ; macroeconomic announcements ; microstructure noise ; informational volatility …

models. We show that HF-based predictions yield a significantly lower portfolio volatility than methods employing daily …