We propose a least squares regression framework for the estimation of the realized covariation matrix using high frequency data. The new estimator is robust to market microstructure noise (MMS) and non-synchronous trading. Comprehensive simulation and empirical analysis show that our estimator...

We investigate the pricing of volatility risks in currency markets. First, we show that pricing ability of volatility risk is concentrated in some of its components. Diffusive volatility dominates jump volatility in pricing carry trade returns, while jump volatility is important in jointly...

This paper develops the idea of renewal time sampling, a novel sampling scheme constructed from stopping times of semimartingales. Based on this new sampling scheme we propose a class of volatility estimators named renewal based volatility estimators. In this paper we show that: (1) The spot...

We propose a price duration based covariance matrix estimator using high frequency transactions data. The effect of the last-tick time-synchronisation methodology, together with effects of important market microstructure components is analysed through a comprehensive Monte Carlo study. To...

We develop a Markov-Switching Autoregressive Conditional Intensity (MS-ACI) model with time-varying transitional parameters, and show that it can be reliably estimated via the Stochastic Approximation Expectation-Maximization algorithm. Applying our model to high-frequency transaction data, we...