We estimate a general microstructure model of the transitory and permanent impact of order flow on stock prices. Jumps …-capitalization stocks traded on the Euronext-Paris Bourse. We find that, at tick frequency, the overnight return, the intraday jumps, and … microstructure model explains on average 47.7% of the total variation. Once jumps are filtered and parameters are estimated in real …

This paper provides theory as well as empirical results for pre-averaging estimators of the daily quadratic variation … frequency, microstructure noise properties as well as the occurrence of jumps. As a result of a detailed empirical study we …

-frequency domain. Using smooth wavelets and Maximum Overlap Discrete Wavelet Transform, we allow for the decomposition of the realized … variance into several investment horizons and jumps. Basing our estimator in the two-scale realized variance framework, we are … processes including long memory fractional stochastic volatility model. The results reveal that our wavelet-based estimator is …