Rossi, Eduardo; Magistris, Paolo Santucci de - School of Economics and Management, University of Aarhus - 2009
informative process. Log-realized volatility and log-volume are characterized by upper and lower tail dependence, where the …-rundependenciesofvolatilityandvolume,sup-
posing that are driven by the same informative process. Log-realized volatility
and log-volume are characterized by upper and … present a simulation exercise
to validate the model.
Keywords. Realized Volatility, Trading Volume, Fractional Cointegration …