) 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 …

interventions succeeded in reducing yields and volatility of government bond segments of the countries under the programme. Finally …

Financial time series often undergo periods of structural change that yield biased estimates or forecasts of volatility … the leverage coefficient and the constant can lead to biased and inefficient AR-RV and GARCH-type volatility estimates …. Similarly, we find that volatility forecasts based on AR-RV and GARCH-type models that take into account structural breaks by …

) 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 …

durations, and vice versa. Otherwise, the spacings between trades are consideredexogenous to the volatility dynamics. This … volatility and intratrade durations. Undergeneral conditions, we propose several Generalized Method of Moments (GMM) estimation … of the IBM 1993 tick-by-tick data. We find some evidence that volatility of IBM stock pricesGranger-causes intratrade …