Giot, Pierre; Laurent, Sébastien; Petitjean, Mikael - In: Journal of Empirical Finance 17 (2010) 1, pp. 168-175
This paper takes a new look at the relation between volume and realized volatility. In contrast to prior studies, we decompose realized volatility into two major components: a continuously varying component and a discontinuous jump component. Our results confirm that the number of trades is the...