Rossi, Eduardo; Santucci de Magistris, Paolo - In: Journal of Empirical Finance 22 (2013) C, pp. 94-112
We investigate the relationship between volatility, measured by realized volatility, and trading volume for 25 NYSE stocks. We show that volume and volatility are long memory but not fractionally cointegrated in most cases. We also find right tail dependence in the volatility and volume...