We investigate the predictability of both volatility and volume for a large sample of Japanese stocks. The particular … practically always improves upon the na?ve forecast provided by historical volatility. As a somewhat surprising result, we also …

We investigate the predictability of both volatility and volume for a large sample of Japanese stocks. The particular … practically always improves upon the na?ve forecast provided by historical volatility. As a somewhat surprising result, we also …

In this paper, we study the dynamic interdependencies between high-frequency volatility, liquidity demand as well as …. Liquidity is causal for future volatility but not vice versa. Furthermore, trade sizes are negatively driven by past trading …

describe the most typical features of capital markets like volatility clustering, excess kurtosis and fat tails. As empirical … evidence shows asymmetry is also a prominent feature of stock market returns volatility. The reaction of risk if stock returns …

exist. Concerning the controversial issues we find that (i) volatility effects depend on the existence of tax havens and on …

on high-frequency stock trading volumes and realized volatility forecasts demonstrate the usefulness of the proposed …

example, report contradictory effects of education and compulsory schooling on mortality - ranging from zero to large … mortality reductions. Using data from 19 compulsory schooling reforms implemented in Europe during the twentieth century, we … quantify the mean mortality effect and explore its dispersion across gender, time and countries. We find that men benefit from …