. Volatility is studied both at the industry level (for 34 different industries from 1974-2003) and at the firm level (for 5 … mixed. A relationship between innovation and volatility emerges most strongly with firm level data, when firm dimension is … accounted for, and when time varying volatility is explicitly studied via GARCH analysis. The latter highlights the distinctive …

This paper proposes a new way of modeling and forecasting intraday returns. We decompose the volatility of high … product of daily, diurnal and stochastic intraday volatility components. This model is applied to a comprehensive sample …