volatility portion of the model, including methods that are robust to market microstructure noise, and address estimation and … mathematical foundations of stochastic processes, describe the primary characteristics of high-frequency financial data, and …

volatility portion of the model, including methods that are robust to market microstructure noise, and address estimation and … mathematical foundations of stochastic processes, describe the primary characteristics of high-frequency financial data, and …

volatility portion of the model, including methods that are robust to market microstructure noise, and address estimation and … mathematical foundations of stochastic processes, describe the primary characteristics of high-frequency financial data, and …

We estimate a general microstructure model of the transitory and permanent impact of order flow on stock prices. Jumps … microstructure model explains on average 47.7% of the total variation. Once jumps are filtered and parameters are estimated in real …

-equity sources of funds. The stochastic nature of equity volatility is endogenous, and comes from the impact of a change in the value …We propose a general framework to model equity volatility for a firm financed by equity and additional non … volatility is a solution of a partial differential equation similar to Black-Scholes', although it is non-linear and in general …

applications in power industries. This model with stochastic volatility of the forward price is built using the ideas and equations … of stochastic differential geometry in order to close the system of equations for the forward price and its volatility … conditions for a stochastic process described forward price volatility. We compare our results with those known from the …

survey covers recent rapid changes providing a snapshot of current microstructure, and of monetary policy institutions. The … growing emerging market, where fundamentals are uncertain. [DRG Study Series No. 32]. …

We propose a new methodology based on Fourier analysis to estimate the fourth power of volatility function (spot …. Further we analyze its efficiency in the presence of microstructure noise, both from a theoretical and empirical viewpoint …. Extensions to higher powers of volatility and to the multivariate case are also discussed. …

Microstructure effects of tender offer acquisitions on targets and acquirers differentiated by listing venue and … are more likely to sell targets upon announcement using direct market orders against ask limit orders for cash payment … traders. As expected, abnormal returns and changes in own-firm permanent return volatility are negatively (but weakly) and …