in which information flows were regularly interrupted for exogenous reasons. English shares were traded on the Amsterdam … prices responded strongly to boat arrivals, but there was considerable volatility in the absence of news. The evidence … suggests that this was largely the result of the revelation of (long-lived) private information and the (transitory) impact of …

about the information content in public signals. We determine how informational advantages by domestic investors in the …

, volatility and stock returns. To do this, we use a large sample of individual accounts over a six-year period in the 1990's in …

We document a form of excess volatility that is irreconcilable with standard models of prices, even after accounting …

This paper explores whether affine models with volatility jumps estimated on intradaily S&P 500 futures data over 1983 … typically small, and that self-exciting but short-lived volatility spikes capture intradaily and daily returns better …

volatility over the next month, but with decreasing realized volatility. These predictability patterns are consistent with …

We propose a network model of firm volatility in which the customers' growth rate shocks influence the growth rates of … the customer firm. Even though all shocks are i.i.d., the network model produces firm-level volatility and size … customer networks display lower volatility. Over time, the volatilities of all firms co-move strongly, and their common factor …