In this work, I study the impact of high-frequency trading (HFT) on price discovery and volatility in the Bund futures … price discovery compared to Non-HFTs, but also add a higher share to noise than to permanent volatility. Moreover, I find … evidence that HFTs tend to supply less liquidity after an unexpected rise in market volatility and prior to upcoming …

closely and has certain other advantages. Second, we introduce a volatility index that provides a lower bound on the market …

can generate a plausible disaggregation of the conditional variance process, in which the components' volatility dynamics … allows for conditional variance in each of the components as well as dynamic feedback between the components. Special cases …

variation, kurtosis, skewness and the population variance of the auxiliary variable is harnessed. The properties relating to the …This paper incorporates the variance of auxiliary variables to propose three improved ratio estimators of population …

-market volatility as measured by the VIX. We propose a new estimator for the shape of the nonlinear forecasting relationship that …, revealing flight to safety: Expected returns increase for stocks when volatility increases from moderate to high levels, while …