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 noise on some volatility estimators, and design three complementary tests … by exploiting edge effects, information aggregation of local estimates and high-frequency asymptotic approximation. The …

volatility models. Our approach allows the isolation of the intrisic liquidity of any asset, and thus makes it possible to deduce …Until recently the liquidity of financial assets has typically been viewed as a second-order consideration. Liquidity … shocks could be easily diversified away. Yet the evidence- especially the recent liquidity crisis- suggests that liquidity is …

We analyze the behaviour of the realized volatility (RV) estimator under liquidity effects. The liquidity is measured …