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...

The New Keynesian Phillips Curve is at the center of two raging empirical debates. First, how can purely forward looking pricing account for the observed persistence in aggregate inflation. Second, price-setting responds to movements in marginal costs, which should therefore be the driving force...