Berger, David; Chaboud, Alain; Hjalmarsson, Erik - In: Journal of Financial Economics 94 (2009) 2, pp. 192-213
We propose a new empirical specification of volatility that links volatility to the information flow, measured as the order flow in the market, and to the price sensitivity to that information. The time-varying market sensitivity to information is estimated from high-frequency data, and...