We study the impact of volatility on intraday serial correlation, at time scales of less than 20 minutes, exploiting a data set with all transactions on SPX500 futures from 1993 to 2001. We show that, while realized volatility and intraday serial correlation are linked, this relation is driven...

In this study we present a new realized volatility estimator based on a combination of the multi-scale regression and <italic>discrete sine transform</italic> (DST) approaches. Multi-scale estimators similar to that recently proposed by Zhang (2006) can, in fact, be constructed within a simple regression-based...