Recent empirical evidence suggests that the long-run dependence in financial market volatility is best characterized by … a slowly mean-reverting fractionally integrated process. At the same time, much shorter-lived volatility dependencies …-of-distributions hypothesis interpretation of the latent volatility process in rationalizing this behavior. By interpreting the overall volatility …

This paper provides empirical evidence on the relationship between trading volumes, volatility and bid-ask spreads in …. I find that in most cases unexpected trading volumes and volatility are positively correlated, suggesting that both are … correlation between trading volumes and volatility is positive during normal periods but turns negative when volatility increases …

-frequency exchange rate data, we find that volatility associated with negative jumps predicts post-FOMC announcement drifts that occur …