A growing literature has been advocating consistent kernel estimation of integrated variance in the presence of financial market microstructure noise. We find that, for realistic sample sizes encountered in practice, the asymptotic results derived for the proposed estimators may provide...

A growing literature advocates the use of microstructure noise-contaminated high-frequency data for the purpose of volatility estimation. This paper evaluates and compares the quality of several recently-proposed estimators in the context of a relevant economic metric, i.e., profits from...

We investigate the sources of skewness in aggregate risk factors and the cross section of stock returns. In an ICAPM setting with conditional volatility, we find theoretical time series predictions on the relationships among volatility, returns, and skewness for priced risk factors. Market...