while adjusting for the volatility risk premium. Relative model performance does not change during the global financial …

but also of dynamic correlations, is the concept of a regularized return, obtained from a volatility proxy in conjunction …

We present a two-factor volatility model to study the impact of news arrival and trading volume on stock returns … variance. The model can explicitly account for the association between volatility and volume, as well as the persistence in … volatility variations. The common observation that large volumes are associated with high volatility is explained by the fact …

covariances, is the concept of a regularized return, obtained from a volatility proxy in conjunction with a smoothed sign …