Long Memory and Tail dependence in Trading Volume and Volatility

Abstract

This paper investigates long-run dependencies of volatility and volume, supposing that are driven by the same informative process. Log-realized volatility and log-volume are characterized by upper and lower tail dependence, where the positive tail dependence is mainly due to the jump component. The possibility that volume and volatility are driven by a… (More)

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Cite this paper

@inproceedings{Rossi2008LongMA, title={Long Memory and Tail dependence in Trading Volume and Volatility}, author={Eduardo Rossi and Paolo Santucci de Magistris}, year={2008} }