This study examines the asymmetric effect of trading volume on realized volatility. The study introduces new realized … volatility models to examine this effect: one model uses asymmetric trading volume variables based on intraday returns, and the … comparisons present results in which asymmetric trading variables increase the forecasting accuracy of realized volatility. These …

The present research investigates the impact of trading volume on stock return volatility using data from the Greek … banking system. For our analysis, the empirical study uses daily measures of volatility constructed from intraday data for the … on stock return volatility mainly in all quantiles. The findings extrapolated are of relevance and interest to financial …

This work aims to investigate the (inter)relations of information arrival, news sentiment, volatility and jump dynamics … volatility modelling is justified in our specific calibration samples (2008 and 2013, respectively). However, our results reject …

, and volatility) from the DAX, MDAX, SDAX, and TecDAX for the period from 2003 to 2017 and show, with modern time …

This study investigates the relationship between trading volume and returns and volatility of Pakistani market for the …-M models are used to test the return, volatility and volume relationship. The results indicate that there is evidence of first … is significant interaction between trading volume and return volatility when volume is entered into variance equation of …

The objective of this article is to investigate the volatility asymmetry, volatility-volume relationship by considering …-GARCH models to examine the volatility pattern in the stock market. Second, both contemporaneous and lagged trading volumes are … augmented in the volatility model to empirically verify the validity of Mixture of Distribution Hypothesis (MDH) and Sequential …