Sudden big price changes are followed by periods of high and persistent volatility. I develop a tractable dynamic … trading process. Both mechanisms operate simultaneously to generate high and persistent volatility. The resulting information …

substantially increases the return volatility of long-lived assets. Moreover, otherwise identical assets with different degrees of …

We develop a theoretical trading conditioning model subject to price volatility and return information in terms of … transaction volume probability to describe price volatility uncertainty and intensity. Applying the model to high frequent data …

We derive representations for the stock price drift and volatility in the equilibrium of agents with arbitrary …, intrinsic characteristic of the aggregate dividend process that we call the ”rate of discounting volatility” and show that, in … equilibrium, the size of market price of risk is determined by the market price of discounted dividend volatility (DDV …

shares, the market price of risk, the risk free rate, the bond prices at dierent maturities, the stock price and volatility …

(borrower and lender) channel of contagion. I propose a general equilibrium network model, which incorporates the two channels … of contagion by endogenizing leverage (margin), asset prices, and network formation. Agents face a tradeoff between …

This paper investigates contagion in financial networks through both debt and collateral markets. Payment from a … show that the existence of the collateral channel of contagion amplifies the contagion from the counterparty channel, and … this additional channel generates different patterns of contagion for a given network structure. If the negative liquidity …