Opschoor, Anne; Taylor, Nick; van der Wel, Michel; van … - In: Journal of Empirical Finance 28 (2014) C, pp. 185-201
We study the relationship between order flow and volatility. To this end we develop a comprehensive framework that simultaneously controls for the effects of macro announcements and order flow on prices and the effect of macro announcements on volatility. Using high-frequency 30-year U.S....