We examine “realized” daily equity return volatilities and correlations obtained from high-
frequency intraday transaction prices on individual stocks in the Dow Jones Industrial …

The paper develops an empirical return volatility‐trading volume model from a
microstructure framework in which informational asymmetries and liquidity needs motivate …

In finance, one usually deals not with prices but with growth rates R, defined as the
difference in logarithm between two consecutive prices. Here we consider not the trading …

It is well known that time series of returns are characterized by volatility clustering and
excess kurtosis. Therefore, when modelling the dynamic behavior of returns, inference and …

We examine the relationship between volatility and past and future returns using high-
frequency aggregate equity index data. Consistent with a prolonged “leverage” effect, we …

We examine the short-term dynamic relation between the S&P 500 (Nasdaq 100) index
return and changes in implied volatility at both the daily and intraday level. Neither the …

This paper provides a simple theoretical framework for assessing the empirical linkages
between returns and realized and implied volatilities. First, we show that whereas the …

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 …

Acommon model for security price dynamics is the continuous-time stochastic volatility
model. For this model, Hull and White (1987) show that the price of a derivative claim is the …

This paper examines the relation between expected stock returns and their conditional
volatility over different holding periods and across different states of the economy …