volatility autocorrelation comes from the fundamental that the trading process is pricing or, is caused by the trading process … itself. Returns and volume data argue, in the context of our model, that persistent volatility is caused by traders … autocorrelation in volatility and volume on the time scale of the trading process which generates returns and volume data. Positive …

This paper presents a comprehensive study of the interactions among returns, volatility, and trading volume between the … foreign price volatility and trading volume on correlations between foreign and domestic stock returns, the paper aims to … transmission of stock returns and volatility. Major findings are three-fold: (1) contemporaneous correlations of stock returns …

growth rate and volatility of commodity spot prices. This view gained credence because in the 2000s trading volume increased …

intra-day activities (deals and price changes) and return volatility is confirmed for Tokyo and London participants, but not … for New York participants. Activities and volatility do not increase toward the end of business hours in the New York … between volatility and activities and a negative correlation between volatility and the bid-ask spread. A negative correlation …