liquidity, especially for stocks with small market capitalization,high volatility and no listed options; (ii) slowed down price …

We consider eight different measures (issued amount, coupon, listed, age, missingprices, price volatility, number of … contributors and yield dispersion) to approximate corporatebond liquidity and use a five-variable model to control for maturity …, credit and currencydifferences between bonds. The null hypothesis that liquidity risk is not priced in our dataset of euro …

counterparties and,consistent with the margin-CAPM, more pronounced for stocks with higher margins. Our results suggest that …

, pages 5073-5087.<P> This paper conducts a horse-race of different liquidity proxies using dynamic asset allocation … strategies to evaluate the short-horizon predictive ability of liquidity on monthly stock returns. We assess the economic value … of the out-of-sample power of empirical models based on different liquidity measures and find three key results …

Although the main interest in the modelling of electricity prices is often on volatility aspects, we argue that … towards volatility features of the time series.For the older electricity market of Nord Pool in Norway, it is found that a …

liquidity shock, separating information maximum likelihood estimation of the integrated volatility and covariance with micro … illustrations, EVT and tail-risk modelling, with evidence from market indices and volatility series, the economics of data using … simple model free volatility in a high frequency world, arbitrage-free implied volatility surfaces for options on single …

Since Black (1976), the source of the stock price volatility smirk has remained a controversy. The volatility smirk is … volatility smirk, both for time series and cross sections of companies. These results may help to disentangle the leverage effect … from other potential explanations like volatility feedback, the time-varying risk premium, and a down-market effect. …

degree of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which … forecasting errors in realized volatility are substantive. Even though returns standardized by ex post quadratic variation … distribution of returns. Explicitly modeling this volatility risk is fundamental. We propose a dually asymmetric realized …

This paper features an analysis of volatility spillover effects from Australia's major trading partners, namely, China …