While the risk return trade-off theory suggests a positive relationship between the expected return and the conditional volatility, the volatility feedback theory implies a channel that allows the conditional volatility to negatively affect the expected return. We examine the effects of the risk...

The weighted price contribution (WPC) is a popular measure for price discovery. This paper examines the theoretical properties and empirical performance of the WPC. The benchmark measure for the WPC is the information share (IS) based on the variation of the efficient price. We derive the...

This paper explores the presence and characteristics of the asymmetric return-volatility relationship (i.e. asymmetric volatility) in bilateral exchange rates and trade weighted indices (TWI). We find evidence of asymmetric volatility in daily realized volatilities of AUD, GBP, and JPY against...

This study provides evidence on the common determinants for two prominent features of equity market volatility: its persistence over time and its asymmetric dependence on past returns. We show that daily volatility persistence increases with current returns, especially negative returns. It...