We argue for incorporating the financial economics of market microstructure into the financial econometrics of asset return volatility estimation. In particular, we use market microstructure theory to derive the cross-correlation function between latent returns and market microstructure noise,...

The paper describes the specification, estimation, and testing of an unrestricted structural econometric model design to explain and forecast individual returns of securities listed on the Brazilian stock market. The model's explanatory variables include macroeconomic, fundamental and...

The dicey regulatory environment surrounding the cryptocurrency sector has raised the concern of investors and potential investors to study the volatility dynamics of cryptocurrencies’ returns in the present scenario. The present treatise is an attempt to study the volatility dynamics of most...

The current report resulted from an engagement with a Goldman Sachs alumnus Hedge Fund with $400 Billion-$500 Billion AUM at the time of the engagement. Given the overriding roles of Liquidity and Volatility in the structural Market Microstructure shifts impacting Alpha of Hedge Fund Portfolios...

Cross-sectional asset pricing tests with GMM can generate spuriously high explanatory power for factor models when the moment conditions are specified such that they allow the estimated factor means to substantially deviate from the observed sample averages. In fact, by shifting the weights on...