This paper shows how to use realised kernels to carry out efficient feasible inference on the ex-post variation of underlying equity prices in the presence of simple models of market frictions. The issue is subtle with only estimators which have symmetric weights delivering consistent estimators...

We analyze the effects of non-synchronicity and market microstructure noise on realized covariance type estimators. It is shown that non-synchronicity leads to severe biases, whenever synchronization methods that employ last-tick interpolation are used. We study a simple estimator which resolves...

We examine moving average (MA) filters for estimating the integrated variance of a financial asset price in a framework where high frequency price data are contaminated with marketmicrostructure noise. We show that the sum of squared MA residuals needs to be scaled for it to be a suitable...

This rejoinder clarifies issues related to the features of market microstructure noise. Specifically, we show that pre-processing of high-frequency data is very useful for the estimation of quadratic variation. We also document a strong relationship between quadratic variation and the number of...

In this paper, we provide an intraday analysis of the impact of monetary policy on the equity markets. Specifically, we study changes in prices and changes in volatility for the Samp;P 500 associated with Federal Open Market Committee announcements as well as real-time changes in market...

We consider the problem of deriving an empirical measure of daily integrated variance (IV) in the situation where high-frequency price data are unavailable for part of the day. We study three estimators in this context and characterize the assumptions that justify their use. We show that the...

We study market microstructure noise in high-frequency data and analyze its implications for the realized variance (RV) under a general specification for the noise. We show that kernel-based estimators can unearth important characteristics of marketmicrostructure noise and that a simple...

The realized variance (RV) is known to be biased because intraday returns are contaminated with market microstructure noise, in particular if intraday returns are sampled at high frequencies. In this paper, we characterize the bias under a general specification for the market microstructure...

We compare 330 ARCH-type models in terms of their ability to describe the conditional variance. The models are compared out-of-sample using DM-$ exchange rate data and IBM return data, where the latter is based on a new data set of realized variance. We find no evidence that a GARCH(1,1) is...

Recent empirical work has studied point processes of transactions in financial markets and observed clear time dependent patterns in these arrival times. However these studies do not examine the timing of quoted price changes. This paper formulates a bivariate point process to jointly analyze...