We show how pre-averaging can be applied to the problem of measuring the ex-post covariance of financial asset returns under microstructure noise and non-synchronous trading. A pre-averaged realised covariance is proposed, and we present an asymptotic theory for this new estimator, which can be...

The performance of volatility-based trading strategies depends, among other factors, on the asset selection and the associated risk preference. For this study, we conducted a representative survey for Germany to determine the asset preferences of individuals with lower-risk and higher-risk...

Properties of a specification test for the parametric form of the variance function in diffusion processes dXt = b (t,Xt) dt + sigma (t,Xt) dWt are discussed. The test is based on the estimation of certain integrals of the volatility function. If the volatility function does not depend on the...

Central limit theorem, quadratic variation, bipower variation