In this paper, we investigate the information content of trading intensity within the Madhavan, Richardson and Roomans (1997) structural model, where trading intensity is expressed in terms of trading momentum in duration and volume, respectively. We use both transactions and intraday data from...

I investigate volatility linkages between 30 U.S. industries by examining their Granger-causal volatility structure and quantifying the amount of volatility that spills over from industry i to industry j. I apply the volatility spillovers index of Diebold and Yilmaz (2009) on industry-specific...

I provide, in this paper, evidence on the contribution of crude oil excess volatility to the volatility index. Crude oil leads the volatility index by 16 basis points (BP) 6 months ahead of time. This leadership is reversal and covers the period from January 21, 2000 to the end of 2011. The...

This study investigates how the trade duration-based intensity modifies the first-order autocorrelation and the transitory variance of the trade process. Because prices are conditional expected values, a structural model in which the trade duration represents the rate at which prices incorporate...

I examine the information sequential hypothesis in complementary oil markets. Unlike the underreaction hypothesis suggested as an explanation to the lagged negative oil effect of financial return, a sequential information schedule through crude oil and gasoline provides a differential dynamic in...