liquid instrument suffers from liquidity shocks that induce periods of increased volatility and significant return …

We develop a tractable and flexible stochastic volatility multi-factor model of the term structure of interest rates …

In this paper we introduce a new way to estimate the spot volatility of high frequency foreign exchange data using the … Hilbert-Huang Transform. We also propose and test a consistent spot volatility estimate in the presence of microstructure … trading market in which competing volatility forecasts buy and sell straddle options to one another using real high frequency …

We develop a tractable and flexible stochastic volatility multi-factor model of the term structure of interest rates …