realized volatility. This noise is connected with all the reality of trade. In the paper we separate the microstructure noise … from the price process and determine the noise to signal ratio for the estimates of the realized volatility in the case of … realized volatility calculation. Moreover, we check the linkages between the noise and some liquidity measures. …

intraday U-shape, c) there is no distinct intraday pattern in returns, d) the volatility and bid/ask spread seems to be higher …

This paper investigates the importance of return heterogeneity and volatility for the foreign exchange rate on the New …

microstructure based on accurate volatility modeling. The paper examines the multifractality of index price series on daily data of …. Multifractals describe the cascade of volatility of returns and are suited for research at different time scales simultaneously …. The Hurst exponent calculated from the scaling function indicates persistence in volatility of index returns. The choice …

reflected by high-frequency data knowing only the daily volatility. We apply the formalism to actual financial data and try to …

volatility. We separate liquidity-driven (transitory) volatility from information-driven (long run) volatility using a dynamic … fluctuations in long run volatility even after controlling for the incoming order flow. The book is less informative for large …

The instantaneous volatility of the price process is analyzed through the intraday financial durations between price …

joint impact of duration and microstructure variables on the returns volatility in the months before the event. The analysis …. Our results suggested that the effect of information on the returns volatility, as measured by several economic and …