'Hara (ELO) as a real-time indicator of order flow toxicity. They find the measure useful in predicting return volatility and …-term volatility solely because it generates systematic classification errors that are correlated with trading volume and return … volatility. When controlling for trading intensity and volatility, the BVC-VPIN measure has no incremental predictive power for …

VPIN a good forecaster of short-term volatility. In contrast, we find that VPIN is a poor volatility predictor, that it …

In this paper, we scrutinize the cross-sectional relation between idiosyncratic volatility and stock returns. As a … novelty, the idiosyncratic volatility is obtained by conditioning upon macro-finance factors as well as upon traditional asset …. Cleaning for macro-finance effects reverses the puzzling negative relation between returns and idiosyncratic volatility …

The dynamic dependencies in financial market volatility are generally well described by a long-memory fractionally … integrated process. At the same time, the volatility risk premium, defined as the difference between the ex-post realized … volatility and the market’s ex-ante expectation thereof, tends to be much less persistent and well described by a short …

Stock market volatility clusters in time, carries a risk premium, is fractionally integrated, and exhibits asymmetric … shapes and patterns in the sample autocorrelations of the volatility and the volatility risk premium, and the dynamic cross …-correlations of the volatility measures with the returns calculated from actual high-frequency intra-day data on the S&P 500 aggregate …

volatility-risk play an important role in determining stock market returns. …