investors because they exacerbate the illiquidity and volatility of securities, increase the dispersions of asset illiquidity … and volatility, and decrease contemporaneous returns. Our price-of-risk estimates are also robust to using mimicking …

-Estimator whose inputs (period used for local volatility calculation and confidence level used for jump detection) were also optimized …

comovements with the macroeconomic outlook. In particular, when option-implied volatility is high, as measured for instance by the …

allocate resources. However, when trust is eroded with high volatility and unpredictable events, financial crises are amplified … economic recovery. Using a multi-factor model, I find that intermediary leverage, volatility, and more importantly their … between intermediary leverage and volatility to enable financial intermediaries to better manage their leverage in a rapidly …

findings of the empirical literature: excess volatility of the market price compared to the asset's fundamental value, serially … correlated volatility, contemporaneous volume-volatility correlation, and excess kurtosis of price changes. We implement a …

volatility and shocks the cross-section of stock returns. Due to agent's asymmetric aversion, financial stress affords positive …