experiment that regularly produces valuation bubble and crash events. Global sessions involved real time trades between subjects …

The use of fundamentalist traders in the stock market models is problematic since fundamental values in the real world …

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 …

against price volatility can generate price volatility in equilibrium, even absent fundamental risk. Fearing that asset prices …

structural stochastic volatility, which derives from different noise levels in the demand of fundamentalists and chartists and …

This paper suggests how to quantify asymmetries in volatility spillovers that emerge due to bad and good volatility … stocks at the disaggregate level. Moreover, the spillovers of bad and good volatility are transmitted at different magnitudes …

Asymmetries in volatility spillovers are highly relevant to risk valuation and portfolio diversification strategies in … volatility may spill over at different magnitudes. This paper fills this gap with two contributions. One, we suggest how to … quantify asymmetries in volatility spillovers due to bad and good volatility. Two, using high frequency data covering most …