complexity of memory measured using Shannon's mutual information, as in models of rational inattention; but our theory differs …

fundamentals, focusing primarily on temperature. We show that when theory clearly identifies the fundamental, i.e., at temperatures …-thirds of the entire winter return variability occurs on these days. Moreover, when theory suggests no such relation, i.e., at … is good news for the theory and for market efficiency, not bad news. In terms of residual FCOJ return volatility, we also …

volatility estimation. In particular, we use market microstructure theory to derive the cross-correlation function between latent … regarding improved volatility estimation methods …