Before revision: In this paper, we investigate the implication of non-stationary market microstructure noise to integrated volatility estimation, provide statistical tools to test stationarity and non-stationarity in market microstructure noise , and discuss how to measure liquidity risk using high frequency financial data.
After revision: In this paper, we investigate the implication of non-stationary market microstructure noise to integrated volatility estimation, provide statistical tools to test stationarity of microstructure noise in general hidden Ito semimartingales , and discuss how to measure liquidity risk using high frequency financial data.