Realized Illiquidity

The authors are grateful to the department editor, Agostino Capponi, the anonymous associate editor, and three anonymous referees for their constructive comments and suggestions. The authors also thank Yakov Amihud, Tim Bollerslev, Nicola Borri, Massimiliano Caporin, Alessandro Casini, Leopoldo Catania, Kim Christensen, Dobrislav Dobrev, Deniz Erdemlioglu, Mark Hallin, Joel Hasbrouck, Fabrizio Lillo, Mark Podolskij, Anders Rahbek, Eduardo Rossi, Johannes Ruf, Francesco Sangiorgi, Pierluigi Vallarino, Bezirgen Veliyev, and Paolo Vitale for their relevant comments about the authors’ work. The authors are indebted to Orimar Sauri for his help in the derivation of the proof of Proposition 1. The authors also thank the participants at the Vieco Conference (Copenhagen University, 2022), the IAAE Conference (King’s College, 2022), the SoFiE Conference (Cambridge, 2022), the Rome-Waseda Time Series Symposium (Rome, 2022), the XXIV Quantitative Finance Workshop (Gaeta, 2023), the II Econometrics Workshop (Aarhus, 2023), the ICEEE Conference (Cagliari, 2023), the ESTA (Florianopolis, 2023), and the AFA (San Antonio, 2024), and the seminar participants at the IESEG School of Management, the Bank of Italy, the University of Pavia, Sapienza University of Rome, Luiss University, the University of Copenhagen, and EDHEC Business School.