, which is defined as the ratio between the realized volatility and trading volume and which refines the popular price impact … measure proposed by Amihud (2002). In our model, both price volatility and market liquidity are assumed to follow stochastic … processes in continuous time. In this setting, characterized by stochastic volatility and liquidity, we prove that the realized …

against volatility risk increases after a market drop. This effect is stronger for short horizons and more persistent for long …

volatility of US and UK GDP growth appears to have become increasingly correlated in the recent past. …

volatility with correlated jumps (SVCJ) model in combination with several rolling windows, it is possible to capture the extreme …: during bullish periods, volatility stabilizes at low levels and the size and volatility of jumps in mean decreases. In … bearish periods though, volatility increases and takes longer to return to its long-run trend. Furthermore, jumps in mean and …