We propose a tractable framework for quantifying the impact of fire sales on the volatility and correlations of asset … returns and provide a quantitative explanation for spikes in volatility and correlations observed during liquidation of large …

small time lag. We provide indicators to measure this phenomenon using tick-by-tick data. Strongly asymmetric cross-correlation … (short intertrade duration, narrow bid/ask spread, small volatility, high turnover) tend to lead smaller stocks. However, the …

In this paper, a study of a stochastic volatility model for asset pricing is described. Originally presented by J. Da … Fonseca, M. Grasselli and C. Tebaldi, the Wishart volatility model identifies the volatility of the asset as the trace of a … the stochastic correlation. Thanks to its flexibility, this model enables a better fit of market data than the Heston …

The aim of this article is to answer the following question: can the considerable rise in the volatility of the LAC … market volatility, especially in Mexico. …

credits; 2) macroeconomic troubles, including loss of competitiveness and macroeconomic volatility; 3) decrease of aid returns …

, permits, for the first time perhaps, a clear-cut mathematical definition of the volatility of a financial asset. It yields as …

liquidity and volatility. To identify causality, we rely on the unique design of this tax that is imposed only on large French … measures of liquidity, such as price impact, and no significant effect on volatility. The results are robust if we rely on …