During the last decades a wide literature has focused on the relationship volume-volatility on financial markets. This … paper investigates the temporal dynamics of volatility and volumes, supposing, as in Bollerslev and Jubinsky (1999), that …. We analyze the volume-volatility relationship using IBM stocks data. In particular, we rely on the realized volatility …

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

reflect information-driven and noise-induced volatilities. We find that all volatility components reveal distinct dynamics and … significantly declines thereafter. Moreover, news-affected responses in all volatility components are influenced by order flow …

We consider the properties of three estimation methods for integrated volatility, i.e. realized volatility, the Fourier … generating mechanisms for the instantaneous volatility process, e.g. Ornstein-Uhlenbeck, long memory, and jump processes. The … volatility process. However, bid-ask bounce effects render realized volatility and especially the wavelet estimator less useful …

reflect information-driven and noise-induced volatilities. We find that all volatility components reveal distinct dynamics and … significantly declines thereafter. Moreover, news-affected responses in all volatility components are influenced by order flow …

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