return volatility estimation. In particular, we use market microstructure theory to derive the cross-correlation function … between latent returns and market microstructure noise, which feature prominently in the recent volatility literature. The … informed conjectures as to improved volatility estimation methods …

The VIX, the stock market option-based implied volatility, strongly co-moves with measures of the monetary policy … stance. When decomposing the VIX into two components, a proxy for risk aversion and expected stock market volatility …

The VIX, the stock market option-based implied volatility, strongly co-moves with measures of the monetary policy … stance. When decomposing the VIX into two components, a proxy for risk aversion and expected stock market volatility …

We document a strong co-movement between the VIX, the stock market option-based implied volatility, and monetary policy …. We decompose the VIX into two components, a proxy for risk aversion and expected stock market volatility (“uncertainty …

the original noise. Therefore, any volatility estimator that is robust to noise relies on weaker noise assumptions if it …

return volatility estimation. In particular, we use market microstructure theory to derive the cross-correlation function … between latent returns and market microstructure noise, which feature prominently in the recent volatility literature. The … informed conjectures as to improved volatility estimation methods. -- Realized Volatility ; Market Microstructure Theory ; High …

volatility estimation. In particular, we use market microstructure theory to derive the cross-correlation function between latent … returns and market microstructure noise, which feature prominently in the recent volatility literature. The cross …-based volatility estimators, which we apply to stock and oil prices. Our results are useful for assessing the validity of the …

The VIX, the stock market option-based implied volatility, strongly co-moves with measures of the monetary policy … stance. When decomposing the VIX into two components, a proxy for risk aversion and expected stock market volatility …

various market outcomes (the price level, volatility, trading activity, market liquidity, and the degree of speculative …