with considerable precision and time-series volatility. We then use these estimates to test for asset integration, both … assets traded on a given market share the same EMRS. The technique is also powerful enough to reject integration between the …

We estimate a general microstructure model of the transitory and permanent impact of order flow on stock prices. Jumps … microstructure model explains on average 47.7% of the total variation. Once jumps are filtered and parameters are estimated in real …

-equity sources of funds. The stochastic nature of equity volatility is endogenous, and comes from the impact of a change in the value …We propose a general framework to model equity volatility for a firm financed by equity and additional non … volatility is a solution of a partial differential equation similar to Black-Scholes', although it is non-linear and in general …

surface and on the implied volatility smile/skew. The method is illustrated by calibrating to market prices of Dollar …A framework for calibrating a pricing model to a prescribed set of options prices quoted in the market is presented … properties of the computed volatility surface are discussed, including the effect of the Bayesian prior on the shape of the …