the integrated squared volatility of an effcient price process Xt from intra-day order book quotes. We derive n -1/3 as … optimal convergence rate of integrated squared volatility estimation in a high-frequency framework with n observations (in …

reflect information-driven and noise-induced volatilities.We find that all volatility components reveal distinct dynamics and … significantly declines thereafter. Moreover, news-affected responses in all volatility components are influenced by order flow … imbalances. -- effcient return ; macroeconomic announcements ; microstructure noise ; informational volatility …

sharpens the picture of intra-day volatility accentuations: they are concentrated within the first two minutes after the open … Nasdaq’s calls have reduced this volatility, reorganized order flow, and lowered volatility persistence. Opening and closing … innovation -- Opening Price ; Closing Price ; Price Discovery ; Intra-Day Volatility ; Market Microstructure ; Equity Markets …