strength of the price reversal relative to the signal-to-noise ratio determines the signs of the return serial correlation and … correlation, arising from lagged feedback effects and sluggish price adjustments. The model performance is decidedly superior to …

frequency, microstructure noise properties as well as the occurrence of jumps. As a result of a detailed empirical study we …. -- Quadratic Variation ; MarketMicrostructure Noise ; Pre-averaging ; Sampling Schemes ; Jumps …

frequency, microstructure noise properties as well as the occurrence of jumps. As a result of a detailed empirical study we …. -- Quadratic Variation ; Market Microstructure Noise ; Pre-averaging ; Sampling Schemes ; Jumps …

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 …

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. -- effcient return ; macroeconomic announcements ; microstructure noise ; informational volatility …

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 …