We apply the ACD-ICV method proposed by Tse and Yang (2011) for the estimation of intraday volatility to estimate monthly volatility, and empirically compare this method against the re- alized volatility (RV) and generalized autoregressive conditional heteroskedasticity (GARCH) methods. Our...

Recently Duarte and Young (2009) study the probability of informed trading (PIN) proposed by Easley et al.(2002) and decompose it into two parts: the adjusted PIN (APIN) as a measure of asymmetric information and the probability of symmetric order- ow shock (PSOS) as a measure of illiquidity....

This paper proposes a local linear estimator for diurnal patterns of transaction durations under a special nonparametric regression model, whose asymptotics are different to any known results. An iterative plug-in algorithm is developed for selecting the bandwidth. The ACD model is then applied...