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 …

's dynamic properties may lead to misestimation of the intraday spot volatility. …

has generally increased over time, and that in times of crisis liquidity is lower and the volatility of liquidity is …

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 …