intermediary data reveal economically large price pressures. A $100,000 inventory shock causes an average price pressure of 0 ….28% with a half-life of 0.92 days. Price pressure causes average transitory volatility in daily stock returns of 0.49%. Price …

We selectively survey, unify and extend the literature on realized volatility of financial asset returns. Rather than … focusing exclusively on characterizing the properties of realized volatility, we progress by examining economically interesting … functions of realized volatility, namely realized betas for equity portfolios, relating them both to their underlying realized …

We selectively survey, unify and extend the literature on realized volatility of financial asset returns. Rather than … focusing exclusively on characterizing the properties of realized volatility, we progress by examining economically interesting … functions of realized volatility, namely realized betas for equity portfolios, relating them both to their underlying realized …

neither theory nor evidence justifies faith in the existence of a stable cointegrating vector. …

(2002). We explore the prospects for the use of large deviation theory in this context, as employed by Sargent (1999) and …