The existing literature estimates stock-price volatility accumulated over the trading day. We focus on what happens to volatility within the trading day. Using transactions data from 2001 through 2009, we estimate the path of the quadratic variation process in 5-minute increments day by day for...

This paper develops a discrete-time general equilibrium model of insurance using standard techniques of intertemporal finance. The underlying source of uncertainty is modeled as a marked point process. The paper begins by characterizing Walrasian equilibrium on the event tree generated by the...