various market outcomes (the price level, volatility, trading activity, market liquidity, and the degree of speculative …

various market outcomes (the price level, volatility, trading activity, market liquidity, and the degree of speculative …

maturities and investment horizons and they are economically significant. Volatility trading strategies which condition on the …

simultaneously estimated. Results with realized volatility, volumes and number of trades of the JNJ stock show that significantly … superior realized volatility forecasts are delivered with a fully interdependent vMEM relative to a single equation …

examine the levels of stock liquidity, trading activity, volatility, and asymmetric information, as well as the order …

There is a long history of research into the impact of trading activity and information on financial market volatility … information flows on realized volatility. Additionally, the extent to which the volume of the information flow as well as the … sentiment inherent in the news affects volatility is also examined. Both the sentiment and rate of news flow are found to …