return 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 … informed conjectures as to improved volatility estimation methods. -- Realized Volatility ; Market Microstructure Theory ; High …

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 … regarding improved volatility estimation methods"--National Bureau of Economic Research web site …