Wagner, Niklas; Marsh, Terry - In: Quantitative Finance 5 (2005) 2, pp. 153-168
Heteroskedasticity in returns may be explainable by trading volume. We use different volume variables, including surprise volume—i.e. unexpected above-average trading activity—which is derived from uncorrelated volume innovations. Assuming weakly exogenous volume, we extend the Lamoureux and...