We estimate a general microstructure model of the transitory and permanent impact of order flow on stock prices. Jumps …-capitalization stocks traded on the Euronext-Paris Bourse. We find that, at tick frequency, the overnight return, the intraday jumps, and … microstructure model explains on average 47.7% of the total variation. Once jumps are filtered and parameters are estimated in real …

estimation strategy is applicable to both parametric and nonparametric stochastic volatility models, and can handle both jumps …

of asset prices. We derive jump robust inference for pre-averaging estimators, corresponding feasible central limit … interval length. Moreover, we investigate the dependence of pre-averaging based inference on the sampling scheme, the sampling … frequency, microstructure noise properties as well as the occurrence of jumps. As a result of a detailed empirical study we …