Supplement to "Volatility and the Gains from Trade"

This zip file contains the replication files for the manuscript.

It also contains an additional supplemental appendix. These Supplemental Materials contain information regarding the empirical context of the data in Section 2, robustness related to stylized facts in Section 3, the derivation and estimation of the quantitative model in Section 5, and additional tables and figures mentioned throughout the main text. Please see the Online Appendix for the derivations, proofs, and extensions of the model introduced in Section 4.


Treb Allen and David Atkin
Data and Programs