Heterosedasticity in returns may be explainable by trading volume. We use different volume variables, including surprise volume - i.e. unexpected above-avergae trading activity - which is derived from uncorrelated volume innovations. Assuming eakly exogenous volume, we extend the Lamoureux and...

The dissertation consists of three self-contained essays, with a focus on empirical capital market research. The first essay "Time-Varying Conditional Market Returns: Is Variance or Tail-Risk Priced", empirically investigates the question whether there is a positive relationship between...