Arbitrage is non-parametrically examined and empirically analyzed in US equity markets. Firstly, analyzed are the properties of arbitrage; and secondly, the factors explaining arbitrage are tested. Empirical analysis concerns a decade of intraday data of five US equity indices and is also...

In this paper I test for and model volatility jumps for the General Index (GD) of the Athens Stock Exchange (ASE), expanding the previous literature on the ASE in various ways. Using intraday data I first construct various state-of-the-art realized volatility estimators which I then use in...

Using high-frequency intraday data, we construct, test and model seven new realized volatility estimators for six international equity indices. We detect jumps in these estimators, construct the jump components of volatility and perform various tests on their properties. Then we use the class of...