We study the equilibrium in the model proposed by Kyle in 1985 and extended that we consider a framework where the price pressure can be random. We also allow for a random release time of the fundamental value of the asset. This framework includes all the particular Kyle models proposed in the...

This paper provides theory as well as empirical results for pre-averaging estimators of the daily quadratic variation of asset prices. We derive jump robust inference for pre-averaging estimators, corresponding feasible central limit theorems and an explicit test on serial dependence in...

This paper provides theory as well as empirical results for pre-averaging estimators of the daily quadratic variation of asset prices. We derive jump robust inference for pre-averaging estimators, corresponding feasible central limit theorems and an explicit test on serial dependence in...