We explore the macro/finance interface in the context of equity markets. In particular, using half a century of …

return volatility estimation. In particular, we use market microstructure theory to derive the cross-correlation function … 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 … predicting as-yet undiscovered patterns, and for microstructure-based volatility estimation …

return volatility estimation. In particular, we use market microstructure theory to derive the cross-correlation function … informed conjectures as to improved volatility estimation methods. …

We explore the macro/finance interface in the context of equity markets. In particular, using half a century of …

We explore the macro/finance interface in the context of equity markets. In particular, using half a century of …