This research provides a theoretical foundation for our previous empirical finding that leverage effect has a role in estimating and forecasting volatility. This empirics is also related to earlier econometric studies of news impact curves (Engle and Ng, Chen and Ghysels). Our new theoretical...

Pre-averaging is a popular strategy for mitigating microstructure in high frequency financial data. As the term suggests, transaction or quote data are averaged over short time periods ranging from 30 seconds to five minutes, and the resulting averages approximate the efficient price process...

This is the first paper about the high dimensional beta tests with high frequency financial data, which allowing that the number of regressors can be larger than the number of observations within each estimation block and can also grow to infinity in asymptotics. In this paper, the sum-type test...

In this paper, we provide non-parametric statistical tools to test stationarity of microstructure noise in general hidden Ito semimartingales, and discuss how to measure liquidity risk using high frequency financial data. In particular, we investigate the impact of non-stationary microstructure...