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 …

ARCH and stochastic volatility models. We consider two major dollar exchange rates, and we show that returns standardized …

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. …