) does not lead the entire day. Spreads, the number of trades and volatility can explain almost half of the intraday … variation in information shares. …

When analysing the volatility related to high frequency financial data, mostly non-parametric approaches based on … stochastic volatility. Estimation of the model delivers measures of daily variation outperforming their non …

care of symmetric as well as asymmetric information. By using this model setting, we develop some properties on the … expected earnings shock and its volatility, and establish properties of investor behavior on the stock price and its volatility … during financial crises and subsequent recovery. Thereafter, we develop properties to explain excess volatility, short …

improved ex-post volatility measurements but has also inspired research into their potential value as an informa-tion source …-of-sample volatility forecasts are obtained with the realised volatility and the extended SV models; all these models contain in-formation … inherent in the high frequency returns. In the absence of the intraday volatility information, we find that the SV model …

may incur smaller costs when takinga short-position, are less exposed to exchange rate risk, possess better information … quality,have more knowledge about each others information sets, due to asymmetries in tax treatment,or because of the presence …

from individual expectations. Subjects have no information about underlying market equilibrium equations, but can learn by … measured by the variance is significantly larger than the amplitude under RE, implying persistent excess volatility. However …