Uncertainty, Market Structure, and Liquidity

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Predicting the long-term stock market volatility: A GARCH-MIDAS model with variable selection (2020, background): “However, these models do not relate macroeconomic variables with the long-term volatility component, until Engle et al. (2013) who propose a GARCH-MIDAS model.”
Every Cloud Has a Silver Lining: Fast Trading, Microwave Connectivity, and Trading Costs (2020, methodology): “Chung and Chuwonganant (2014) and Malinova, Park and Riordan (2014) argue that VIX is a first-order determinant of trading activity and liquidity, and we use their insight in a regression setup as follows: , (1) where is the price impact; is total precipitation in the Chicago-New York corridor; and…”