stochastic volatility of asset prices and to give theoretical arguments for empirically well documented facts. We show that … stochastic volatility. …

of linear autocorrelation, volatility clustering), trading volumes (volume clustering, correlation between volume and … volatility), and timing of trades (number of price changes, autocorrelation of durations between subsequent trades, heavy tail in …

tractable and qualitatively matches many of the empirical regularities in a stock price, its mean return, volatility, and … to a higher stock volatility and trading volume. We demonstrate that otherwise identical two-investor heterogeneous …

Tests of excessive volatility along the lines of Shiller (1981) and Leroy and Porter (1981) count among the most …

both conditional volatility and skewness. This has first order implications for managing risks associated with momentum … investing: an adjusted momentum portfolio which hedges in real time for both volatility and skewness risk outperforms benchmark … constant and dynamic volatility-managed momentum strategies. This result holds for different levels of transaction costs and …

has generally increased over time, and that in times of crisis liquidity is lower and the volatility of liquidity is …