We examine the impact of oil price and oil price volatility on US illiquidity premiums (return on illiquid …-minus-liquid stocks), using the US Oil Fund options implied volatility OVX index. We use daily data from 2007 to 2018, taking into account …

identification of two volatility regimes. The results obtained in simulation are also confirmed in an empirical application to WTI …. Considering models with long-term component we find that RS GARCH MIDAS-t with realised volatility achieves the lowest MSE and … QLIKE, thus indicating that, in our case, production and demand do not provide useful information regarding oil volatility …

volatility, even controlling for mispricing, limits to arbitrage, lottery preferences, analyst disagreement, and sentiment …. Moreover, the leverage constraints theory counterfactually predicts that market and BAB Sharpe ratios increase with volatility …. We further show that institutional investors shift their demand from high- to low-beta stocks as volatility increases …

normally distributed stock price returns of volatility and zero drift. The values are obtained by solving the Backward …-day volatility by observing the average time a fixed percentage up or down re-hedge would occur given a set of continuous tick data …