The analysis of the intraday dynamics of covariances among high-frequency returns is challenging due to asynchronous trading and market microstructure noise. Both effects lead to significant data reduction and may severely affect the estimation of the covariances if traditional methods for...

We study the asymptotic normality of two estimators of the integrated volatility of volatility based on the Fourier methodology, which does not require the pre-estimation of the spot volatility.We show that the bias-corrected estimator reaches the optimal rate 1/4, while the estimator without...

We propose a reduced form model for the Minskian dynamics of liquidity and of asset prices in terms of the so-called financial accelerator mechanism. In a nutshell, credit creation is driven by the market value of the financial assets employed as collateral in the bank loans. This leads to a...