This paper examines how risk in trading activity can affect the volatility of asset prices. We look for this … that level. -- convergence trading ; interest rate swaps ; swap spread ; repurchase contracts ; trading risk ; volatility … normal levels. We investigate how the risks in convergence trading can affect price volatility in a form of positive feedback …

Does the presence of arbitrageurs decrease equilibrium asset price volatility? I study an economy with arbitrageurs … effect). In equilibrium, the presence of arbitrageurs increases volatility when the inference effect dominates the arbitrage …

estimated in these series and the implied model is similar to a time-varying parameter model with stochastic volatility …

the equity premium, Sharpe ratio, and risk aversion are also generally countercyclical. These findings survive several … volatility during the post-1990 period. The evidence is stronger for countries that have larger stock market capitalization …