During the financial crisis in 2007-8, the quoted spread for the average S&P 1500 firm increased by 50%, while the systematic liquidity risk increased by 34%. We find that the trading of a firm's equity by institutional investors increased the firms' quoted spreads, and led to a higher liquidity...

Abstract This paper presents a comprehensive simulation study on estimating parameters for the popular Heston stochastic volatility model. Leveraging high-frequency data, we explore, in a data-science type exercise, various spot-volatility estimation and sampling techniques, improving existing...