allows the relevance of the risk-return trade-off and autocorrelation to change over time. The model detects a positive risk …-return relation, but the importance of the risk-return relation fluctuates with the level of information flow, measured by volatility …. During low-volatility periods, market-wide persistence in returns increases, leading to a failure of the pure risk …

This study examines the impact of investors' buy and sell trades on Korean stock market volatility across two crisis … on volatility that depends on the type of investor trading and on the phase of the business cycle. Buy orders appear to … be more informative than sell orders since they mostly lower volatility in the pre-crisis periods, while sell and post …

, which is defined as the ratio between the realized volatility and trading volume and which refines the popular price impact … measure proposed by Amihud (2002). In our model, both price volatility and market liquidity are assumed to follow stochastic … processes in continuous time. In this setting, characterized by stochastic volatility and liquidity, we prove that the realized …

Heavy tails and volatility clusters are both stylized facts of financial returns that destabilize markets. The former … diversification, and how an acknowledgment of volatility clustering can enhance the quality of risk models. The analysis is carried … risk historically received more attention, especially in financial regulation, our analysis shows that volatility clusters …

intra-day data. The paper analyses the relationships among the S&P 500 Index and futures prices, returns and volatility of … intra-day temporal aggregation in examining returns relationships and volatility spillovers across the equity and energy … futures markets, and the effects of overnight returns, volume, realized volatility, asymmetry, and spillovers across the four …

The relationship between trading volume and volatility in foreign exchange markets continues to be of much interest …, especially given the higher than expected volatility of returns. Allowing for non-linearities, this paper tests competing … hypotheses on the possible relationship between volatility and trading volume using data for three major currency futures …