differences of opinion is left, and hence volatility is decreased. …

differences of opinion is left, and hence volatility is decreased. …

is often preceeded by an increase in market volatility and a withdrawal of liquidity, and that liquidity shocks play an …

differences of opinion is left, and hence volatility is decreased. …

fundamentals and hence the pervasive joint hypothesis quagmire. We avoid this dilemma by measuring noise volatility directly by …

volatility clustering in clock-time returns, even when trade- time returns are Gaussian. Finally, we highlight conditions on the … directing process which are required in order to generate proper volatility dynamics while simultaneously matching the … unconditional distribution of returns. In-sample fitting and out-of-sample realized volatility forecasting demonstrate the strength …

"low" and "high" volatility periods. These periods are determined by estimating asset dynamics using a SWARCH process. Our … results suggest that securities volatility is higher during periods of financial or economic instability. We use these results … to evaluate the impact of news during "low" and "high" volatility periods using a GARCH model. News effects, especially …