Purpose – This paper aims to incorporate a market wide buying and selling pressure cost component into a spread decomposition model as spread cost component. Design/methodology/approach – The paper extends a commonly used trade indicator spread decomposition model to include a component...

This article investigates the merits of high-frequency intraday data when forming mean-variance efficient stock portfolios with daily rebalancing from the individual constituents of the S&P 100 index. We focus on the issue of determining the optimal sampling frequency as judged by the...

We evaluate the forecasting performance of time series models for realized volatility, which accommodate long memory, level shifts, leverage effects, day-of-the-week and holiday effects, as well as macroeconomic news announcements. Applying the models to daily realized volatility for the S&P 500...

We introduce a heuristic bias-adjustment for the transaction price-based realized range estimator of daily volatility in the presence of bid–ask bounce and non-trading. The adjustment is an extension of the estimator proposed in Christensen et al. (2009). We relax the assumption that all...