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....

We introduce a new efficient importance sampler for nonlinear non-Gaussian state space models. We propose a general and efficient likelihood evaluation method for this class of models via the combination of numerical and Monte Carlo integration methods. Our methodology explores the idea that...