Transaction-level analysis of security price change due to Madhavan, Richardson and Roomans (1997, hereafter MRR) has been a useful framework in financial analysis. The one order Markov property of the trade indicator variables is a key assumption in the MRR model, which contradicts the...

This paper introduces a new specification for the heterogeneous autoregressive (HAR) model for the realized volatility of S&P500 index returns. In this new model, the coefficients of the HAR are allowed to be time-varying with unknown functional forms. We propose a local linear method for...