This paper develops mew robust inference procedures for analyzing the intraday return volatility patterns that … trading restrictions in the interbank foreign exchange (FX) market for Japanese banks during the Tokyo lunch period. Ito …, Lyons, and Melvin (1998) (ILM) argue that this deregulation resulted in a highly significant shift in the volatility pattern …

This paper presents a comprehensive study of the interactions among returns, volatility, and trading volume between the … foreign price volatility and trading volume on correlations between foreign and domestic stock returns, the paper aims to … transmission of stock returns and volatility. Major findings are three-fold: (1) contemporaneous correlations of stock returns …

Kingdom and Japan reinforces the notion that the volatility seen in the 2008 crisis was relatively short-lived. While there is … the United States to show how stock volatility has changed over time. It also uses various measures of volatility implied … 2008. This episode was associated with historically high levels of stock market volatility, particularly among financial …

It is a common practice in finance to estimate volatility from the sum of frequently-sampled squared returns. However …-time assumption on the underlying returns. Under our framework, it becomes clear why and where the usual' volatility estimator fails …

, especially those using high frequency trading (HFT). Trading in dark venues due to a wider MPV reduces volatility and increases …