Considerable theoretical and empirical evidence links price comovements with the behavior of retail investors. Nevertheless, when predicting stock return correlations, research has focused on the leverage effect. We propose a new model of realized covariances that allows exogenous predictors to...

This chapter uncovers new insights on the dynamic volume–return relationship. We verify whether non-informational or informational trading can explain the volume-return relation in the three largest stock exchanges. We apply the cross-quantilogram approach to investigate the directional...