This paper uses dynamic impulse response analysis to investigate the interrelationships
among stock price volatility, trading volume, and the leverage effect. Dynamic impulse …

We derive a speculative trading model with endogenous informed trading that yields a
conditionally heteroscedastic time series for trading volume and the squared price changes …

Vast empirical evidence points to the existence of a negative correlation, named” leverage
effect”, between shocks to variance and shocks to returns. We provide a nonparametric …

Financial returns are frequently nonstationary due to the nonstationary distribution of zeros.
In daily stock returns, for example, the nonstationarity can be due to an upwards trend in …

This article examines the ability of volume data to shed light on the source of persistence in
stock-return volatility. A mixture model, in which a latent common factor restricts the joint …

This article examines the behavior of equity trading volume and volatility for the individual
firms composing the Standard & Poor's 100 composite index. Using multivariate spectral …

The existence of “spillover effects” in financial markets is well documented and multivariate
time series techniques have been used to study the transmission of conditional variances …

This article examines the leverage effect, or the generally negative covariation between
asset returns and their changes in volatility, under a general setup that allows the log-price …

We construct an empirical model for daily highs and daily lows of US stock indexes based
on the intuition that highs and lows do not drift apart over time. Our empirical results show …

The logarithmic prices of financial assets are conventionally assumed to follow a drift–
diffusion process. While the drift term is typically ignored in the infill asymptotic theory and …