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

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

simultaneous estimation of the interdependent duration-volatility model. In an empirical application we utilize the model for an … indirect test of the hypothesis that volatility is caused by private information that affects prices when informed investors … trade. The result that volatility shocks significantly increase expected inter-transaction durations supports this …

trading. The volatility of yields of the four bonds more than doubled in the wake of the Russian devaluation on August 17th …