Avouyi-Dovi, S.; Jondeau, E.; Lai Tong, C. - Banque de France - 1997
main stock market indices of the G5: interactions between return and volatility, international transmission mechanisms and … impact of trading volumes. The non-significance of expected volatility in return equation can be explained by the influence … of trading volumes on returns. On the other hand, asymmetric effects (from non-expected return to volatility) are very …