transaction prices of a large sample of NYSE stocks a fundamental component and a microstructure noise component. We then relate … these statistical measurements of market microstructure noise to observable characteristics of the underlying stocks, and in …

" states - following market declines and when market volatility is high - and are contemporaneous with market rebounds. We show …

formulate and examine precise and separate measures of return spillovers and volatility spillovers. Our framework facilitates … evidence of divergent behavior in the dynamics of return spillovers vs. volatility spillovers: Return spillovers display a … gently increasing trend but no bursts, whereas volatility spillovers display no trend but clear bursts …

volatility estimation. In particular, we use market microstructure theory to derive the cross-correlation function between latent … returns and market microstructure noise, which feature prominently in the recent volatility literature. The cross …We introduce the financial economics of market microstructure into the financial econometrics of asset return …

We analyze the impact of time series dependence in market microstructure noise on the properties of estimators of the … integrated volatility of an asset price based on data sampled at frequencies high enough for that noise to be a dominant … estimators to the standard realized volatility …

the United States to show how stock volatility has changed over time. It also uses various measures of volatility implied … 2008. This episode was associated with historically high levels of stock market volatility, particularly among financial … sector stocks, but the market did not expect volatility to remain high for long and it did not. This is in sharp contrast to …

paper examines how well time-changed Lévy specifications capture stochastic volatility, the "leverage" effect, and the …

qualitatively: (i) equity premium puzzle (ii) risk-free rate-puzzle (iii) excess volatility puzzle (iv) predictability of aggregate …

This paper analyzes the behavior of stock return volatility using daily data from 1885 through 1987. The October 1987 … stock market crash was unusual in many ways relative to prior history. In particular, stock volatility jumped dramatically … call option prices and estimates of volatility from futures contracts on stock indexes to confirm this result …