We clarify that the widely used estimation method for the LOT liquidity model in the market microstructure literature … as a consistent estimator should do. We suggest one should use the Y-split estimation method proposed by Goyenko et al …

shifts and stochastic volatility. The filter adapts to regime shifts extremely rapidly and delivers a clear heuristic for … distinguishing between regime shifts and stochastic volatility, even though the model dynamics assumed by the filter exhibit neither …