Does the presence of arbitrageurs decrease equilibrium asset price volatility? I study an economy with arbitrageurs … effect). In equilibrium, the presence of arbitrageurs increases volatility when the inference effect dominates the arbitrage …

We explore the cross-sectional pricing of volatility risk by decomposing equity market volatility into short- and long …-run components. Our finding that prices of risk are negative and significant for both volatility components implies that investors … pay for insurance against increases in volatility, even if those increases have little persistence. The short …

break-even inflation rates when market volatility is high. Our model's ability to be updated weekly makes it suitable for …

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

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 …