This paper studies the joint distribution of tick by tick returns and durations between trades. We build an econometric model for estimating and forecasting the volatility of stock returns using high-frequency data, correcting for the bias incurred by microstructure noise. Three features of the model are worth mentioning: first the conditional volatility adapts a structure which incorporates pa...

Using recent advances in the econometrics literature, we disentangle from high frequency observations on the transaction prices of a large sample of NYSE stocks a fundamental component and a microstructure noise component. We then relate these statistical measurements of market microstructure noise to observable characteristics of the underlying stocks and, in particular, to different financial...

We introduce the Realized moMents of Disjoint Increments (ReMeDI) paradigm to measure microstructure noise (the deviation observed asset prices from fundamental values caused by market imperfections). propose consistent estimators arbitrary moments process based on high‐frequency data, where could be serially dependent, endogenous, and nonstationary. characterize limit distributions proposed co...

| A randomized microstructure based on the Voronoi diagram is proposed for micromagnetic models. Simulations illustrate variability of extrinsic magnetic properties with microstructure, medium noise dependence on medium properties, and jitter dependence on trackwidth.

This paper proposes a robustification of the test statistic of Aït-Sahalia and Jacod (2009b) for the presence of market microstructure noise in high frequency data, based on the pre-averaging method of Jacod et al. (2010). We show that the robustified statistic restores the test’s discriminating power between jumps and no jumps despite the presence of market microstructure noise in the data. © ...

This paper considers spot variance path estimation from datasets of intraday high frequency asset prices in the presence of diurnal variance patterns, jumps, leverage effects and microstructure noise. We rely on parametric and nonparametric methods. The estimated spot variance path can be used to extend an existing high frequency jump test statistic, to detect arrival times of jumps and to obta...

We argue for incorporating the financial economics of market microstructure into the financial econometrics of asset return volatility estimation. In particular, we use market microstructure theory to derive the cross-correlation function between latent returns and market microstructure noise, which feature prominently in the recent volatility literature. The cross-correlation at zero displacem...

We design adaptive realized kernels to estimate the integrated volatility in a framework that combines a stochastic volatility model with leverage effect for the effi cient price and a semiparametric microstructure noise model specified at the highest frequency. Some time dependence parameters of the noise model must be estimated before adaptive realized kernels can be implemented. We study the...

Observed high-frequency …nancial prices can be considered as comprising two components, a true price and a market microstructure noise perturbation. It is an empirical regularity, coherent with classical market microstructure theories of price determination, that the second moment of market microstructure noise is time-varying. We study the optimal, from a …nite-sample forecast MSE standpoint, ...