Equi-spaced sampling is the norm in applied work using high-frequency data. Due to trade intermittency, however, this traditional sampling scheme amounts to implicit random sampling. Under implicit random sampling and on continuous trajectories, we quantify the asymptotic biases of even realized...

We introduce a class of nonparametric spot volatility estimators based on delta sequences and conceived to include many of the existing estimators in the field as special cases. The full limit theory is first derived when unevenly sampled observations under infill asymptotics and fixed...

Do hedge funds hedge? In negative states of the world, often not as much as they should. For several styles, we report larger market betas when market returns are low (i.e., “beta in the tails”). We justify this finding through a combination of negative-mean jumps in the market returns and...