.28% with a half-life of 0.92 days. Price pressure causes average transitory volatility in daily stock returns of 0.49%. Price … Risk ; Intermediary ; Volatility …

ETFs increase the volatility of the underlying assets, and that the prices of the underlying assets are affected by shocks … ; undervaluation ; volatility ; excess returns ; price ; cross market contagion ; arbitrageurs …

acknowledge the new information. Finally, we propose the use of the estimated integrated volatility as an exogenous predictor of …

idiosyncratic stock volatility following acquisitions by foreign investors …

volatility clustering in clock-time returns, even when trade- time returns are Gaussian. Finally, we highlight conditions on the … directing process which are required in order to generate proper volatility dynamics while simultaneously matching the … unconditional distribution of returns. In-sample fitting and out-of-sample realized volatility forecasting demonstrate the strength …

is often preceeded by an increase in market volatility and a withdrawal of liquidity, and that liquidity shocks play an …