particular to different financial measures of their liquidity. We find that more liquid stocks based on financial characteristics …

overshooting and a reduced liquidation value for the distressed trader. Hence, the market is illiquid when liquidity is most needed …

volatility estimation. In particular, we use market microstructure theory to derive the cross-correlation function between latent … returns and market microstructure noise, which feature prominently in the recent volatility literature. The cross … regarding improved volatility estimation methods …

This paper develops mew robust inference procedures for analyzing the intraday return volatility patterns that … constitute a focal point of much market microstructure theory. Our empirical analysis is motivated by the recent lifting of …, Lyons, and Melvin (1998) (ILM) argue that this deregulation resulted in a highly significant shift in the volatility pattern …

market liquidity to vary from `normal' periods, when all assets are fully liquid, to 'illiquidity crises,' when some assets … can only be traded infrequently. The possibility of a liquidity crisis leads to limited arbitrage in normal times …

. Such a funding-liquidity crisis gives rise to "bases," that is, price gaps between securities with identical cash-flows but …

In this paper we study how volatility in monetary policy affects economic performance in the presence of endogenously … would be efficient. The equilibria that we find, with volatility and asymmetry of information, are inefficient for two …