Karanasos, M.; Kartsaklas, A. - In: Journal of Empirical Finance 16 (2009) 5, pp. 838-851
This paper investigates the issue of temporal ordering of the range-based volatility and turnover volume in the Korean market for the period 1995-2005. We examine the dynamics of the two variables and their respective uncertainties using a bivariate dual long-memory model. We distinguish volume...