Trading activity, realized volatility and jumps
(2010) Journal of Empirical Finance — Vol. 17, n° 1, p. 168-175 (2010)
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- Authors
- Abstract
- This paper takes a new look at the relation between volume and realized volatility. In contrast to prior studies, we decompose realized volatility into two major compo- nents: a continuously varying component and a discontinuous jump component. Our results con¯rm that the number of trades is the dominant factor shaping the volume- volatility relation, whatever the volatility component considered. However, we also show that the decomposition of realized volatility bears on the volume-volatility re- lation. Trade variables are positively related to the continuous component only. The well-documented positive volume-volatility relation does not hold for jumps.
- Affiliations
Louvain School of Management Accounting & Finance FUCaM Sciences de gestion
Citations
Petitjean, M., Giot, P., & Laurent, S. (2010). Trading activity, realized volatility and jumps. Journal of Empirical Finance, 17(1), 168-175. https://hdl.handle.net/2078.5/250226 (Original work published 2010)