In this paper we analyze and interpret the quote price dynamics of 100 NYSE stockswith varying average trade frequencies. We specify an error-correction model for the logdifference of the bid and the ask price, with the spread acting as the error-correctionterm, and include as regressors the...

A volatility model must be able to forecast volatility; this is the central requirement in almost all financial applications. In this paper we outline some stylised facts aboutvolatility that should be incorporated in a model; pronounced persistence and meanreversion, asymmetry such that the...

volatility model must be able to forecast volatility; this is the central requirement in almost all financial applications. In this paper we outline some stylised facts aboutvolatility that should be incorporated in a model; pronounced persistence and meanreversion, asymmetry such that the sign...