This paper presents the most extensive analysis of liquidity in the German equity market so far. We examine the evolution of liquidity over time, the determinants of liquidity, and commonality across liquidity measures and countries. We make use of a new publicly available dataset, the Market...

We consider the properties of three estimation methods for integrated volatility, i.e. realized volatility, the Fourier estimator, and the wavelet estimator, when a typical sample of high-frequency data is observed. We employ several different generating mechanisms for the instantaneous...