) unite liquidity and volatility in one framework through which their joint dynamics can be examined. Liquidity and volatility … crisis, accompanied by increased price volatility, but that trading activity seems unaffected until after the Lehman Brothers … bankruptcy. Our models' key finding is that price volatility and depth at the best bid and ask prices exhibit a negative feedback …

allow for low-frequency variation in the volatility of the shocks, and 2) the estimated degrees of freedom are quite low for … exclude the Great Recession from the sample. We also show that inference about low-frequency changes in volatility - and, in …