and their implementation, payment systems and private market structures) and its implications for intraday volatility …, quoting activity, trading volume and bid-ask spreads in the overnight deposit segment. Volatility and spreads increase right … volatility and no signs of market power or adverse selection. Spreads and volatility were high at the end of the reserve …

on the role of transaction costs for financial price volatility. For stock prices above French francs (FF) 500, the … volatility metric, we calculate 47,213 hourly volatility measures for all CAC40 stocks in the price range from FF 400 to FF 600 … and measure the volatility impact of the transaction cost increase at FF 500. We find that the median hourly range …

We consider estimating volatility risk factors using large panels of filtered or realized volatilities. The data … structure involves three types of asymptotic expansions. There is the cross-section of volatility estimates at each point in … h of the data used to compute the volatility estimates which rely on data collected at increasing frequency, h ? 0: The …

option is positive, informational efficiency is higher in the market for the stock, and volatility is lower. We argue that …