In this paper, we study the dynamic interdependencies between high-frequency volatility, liquidity demand as well as …. Liquidity is causal for future volatility but not vice versa. Furthermore, trade sizes are negatively driven bypast trading …

introduce a model for asset return dynamics with a driftcomponent, a volatility component and mutually exciting jumps known as …

of the time otherwise required. The proposed method is a two-step procedure, separating the estimation of the correlation …

equilibriumvolatility and correlation risk premia. In our economy, uncertainty is linked to both firm-specific and market-wide signals …: Greatersubjective uncertainty or higher disagreement on the market-wide signal imply a larger correlation of beliefs, a strongerco …-movement of stock returns, and a substantial correlation risk premium generated by the endogenous optimal risksharingamong …

institutions. By means of a simulation study, we explore the hypothesis that differencesin the correlation estimates are due to a … substantial downward bias characteristicof estimates based on default rates. Our results suggest that correlation estimates … explain the dierences in correlation estimates. Furthermore, ourresults help to quantify the estimation error of asset …

We develop a discrete-time stochastic volatility option pricing model, which exploits the informationcontained in high …-frequency data. The Realized Volatility (RV) is used as a proxy of the unobservablelog-returns volatility. We model its dynamics by a … stochastic volatility pricing models. The pricing improvementcan be ascribed to: (i) The direct use of the RV, which provides a …