Danilova, Albina; Julliard, Christian - London School of Economics (LSE) - 2014
if news are not generated by a stochastic volatility process, in the presence of information treatment and/or order … processing costs, the (unique) equilibrium price process is characterised by stochastic volatility. The intuition behind this …. Since new (constant volatility) information is released to the market at trading times, the price process sampled at trading …