Volatility Dynamics and Liquidity (Presentation Slides)

14 Pages Posted: 15 Jan 2020

See all articles by Sabiou Inoua

Sabiou Inoua

Economic Science Institute, Chapman University

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

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

Sabiou M. Inoua (Contact Author)

Economic Science Institute, Chapman University ( email )

One University Drive
Orange, CA 92866
United States

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