Download This PaperVolatility Dynamics and Liquidity (Presentation Slides)
14 Pages Posted: 15 Jan 2020
Date Written: September 6, 2019
Abstract
Presentation on the ambivalent role of liquidity in economic stability. A model of speculation, volatility dynamics and liquidity is developed. A natural explanation of extreme randomness is offered. It is shown that news driven expectations imply clustered volatility.
Keywords: Volatility dynamics, speculation, bank credit, liquidity
JEL Classification: G12, G14
Suggested Citation: Suggested Citation
M. Inoua, Sabiou, Volatility Dynamics and Liquidity (Presentation Slides) (September 6, 2019). Proceedings of the 4th Chapman Conference on Money & Finance on Liquidity: Pricing, Management and Financial Stability, Available at SSRN: https://ssrn.com/abstract=3517601 or http://dx.doi.org/10.2139/ssrn.3517601
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