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

allows us to obtain an estimator of the conditional volatility per time. this kind of volatility estimation solves the …

specifications of high-dimensional trading processes. It turns out that common shocks affect the return volatility and the trading …

Measuring and modeling financial volatility is the key to derivative pricing, asset allocation and risk management … the daily or lower frequency volatility can be obtained by summing over squared high-frequency returns.In turn, this so …-called realized volatility can be used for more accurate model evaluation and description of the dynamic and distributional structure …

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 … ; volatility ; liquidity ; high-frequency data …