Financial time series often undergo periods of structural change that yield biased estimates or forecasts of volatility … the leverage coefficient and the constant can lead to biased and inefficient AR-RV and GARCH-type volatility estimates …. Similarly, we find that volatility forecasts based on AR-RV and GARCH-type models that take into account structural breaks by …

) unite liquidity and volatility in one framework through which their joint dynamics can be examined. Liquidity and volatility … crisis, accompanied by increased price volatility, but that trading activity seems unaffected until after the Lehman Brothers … bankruptcy. Our models' key finding is that price volatility and depth at the best bid and ask prices exhibit a negative feedback …

durations, and vice versa. Otherwise, the spacings between trades are consideredexogenous to the volatility dynamics. This … volatility and intratrade durations. Undergeneral conditions, we propose several Generalized Method of Moments (GMM) estimation … of the IBM 1993 tick-by-tick data. We find some evidence that volatility of IBM stock pricesGranger-causes intratrade …

at different frequencies. Volatility and related processes are our prime focus, though the regression method has wider … volatility and a not-so-recent literature on distributed lag models. We study various lag structures to parameterize … also report empirical evidence on microstructure noise and volatility forecasting. …

durations, and vice versa. Otherwise, the spacings between trades are consideredexogenous to the volatility dynamics. This … volatility and intratrade durations. Undergeneral conditions, we propose several Generalized Method of Moments (GMM) estimation … of the IBM 1993 tick-by-tick data. We find some evidence that volatility of IBM stock pricesGranger-causes intratrade …

distribution of volatility estimators involving data sampled at different frequencies. We focus on traditional historical … volatility filters involving monthly, daily and intra-daily observations. Second, we introduce a continuous record asymptotics … approach for estimating the so called integrated volatility, which represents the cumulative integral of instantaneous …

transaction durations and vice versa. Otherwise the spacings between trades are considered exogenous to the volatility dynamics … causality between volatility and intra-trade durations. Under general conditions we propose several GMM estimation procedures … that volatility of IBM stock prices Granger causes intra-trade durations. We also find that the persistence in GARCH drops …