Is asset liquidity a source of price volatility? We answer this question within a continuous-time, New Monetarist … economy under extrinsic uncertainty and endogenous asset liquidity. We consider single or multiple assets, risk-free or risky … equilibria exist only if assets have a non-positive intrinsic value (e.g., fiat monies) or if their liquidity (acceptability …

return volatility estimation. In particular, we use market microstructure theory to derive the cross-correlation function … informed conjectures as to improved volatility estimation methods. -- Realized Volatility ; Market Microstructure Theory ; High …