We show that (electronic) designated market makers are not necessarily beneficial to the stock market during ash crashes. They actually consume liquidity when it is most needed, even if they are rewarded by the exchange to provide immediacy. This behavior exacerbates the transient price impact,...

We provide a set of probabilistic laws for range-based estimation of integrated variance of a continuous semi-martingale. To accomplish this, we exploit the properties of the price range as a volatility proxy and suggest a new method for non-parametric measurement of return variation. Assuming...

This paper proposes using realized range-based estimators to draw inference about the quadratic variation of jump-diffusion processes. We also construct a range-based test of the hypothesis that an asset price has a continuous sample path. Simulated data shows that our approach is efficient, the...

Market microstructure noise is a challenge to high-frequency based estimation of the integrated variance, because the noise accumulates with the sampling frequency. In this paper, we analyze the impact of microstructure noise on the realized range-based variance and propose a bias-correction to...

We show how pre-averaging can be applied to the problem of measuring the ex-post covariance of financial asset returns under microstructure noise and non-synchronous trading. A pre-averaged realised covariance is proposed, and we present an asymptotic theory for this new estimator, which can be...

In this paper, we propose a new jump robust quantile-based realised variance measure of ex-post return variation that can be computed using potentially noisy data. The estimator is consistent for the integrated variance and we present feasible central limit theorems which show that it converges...

In this paper, we propose a new jump robust quantile-based realised variancemeasure of ex-post return variation that can be computed using potentially noisy data. This new estimator is consistent for integrated variance and we present feasible central limit theorems which show that it converges...

This paper proposes using realized range-based estimators to draw inference about the quadratic variation of jump-diffusion processes. We also construct a range-based test of the hypothesis that an asset price has a continuous sample path. Simulated data shows that our approach is efficient, the...

We provide a set of probabilistic laws for range-based estimation of integrated variance of a continuous semi-martingale. To accomplish this, we exploit the properties of the price range as a volatility proxy and suggest a new method for non-parametric measurement of return variation. Assuming...

Market microstructure noise is a challenge to high-frequency based estimation of the integrated variance, because the noise accumulates with the sampling frequency. In this paper, we analyze the impact of microstructure noise on the realized range-based variance and propose a bias-correction to...