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 … positive tail dependence is mainly due to the jump component. The possibility that volume and volatility are driven by a common …
CREATES Research Paper 2009-30
Long Memory and Tail dependence
in Trading Volume and Volatility
Eduardo Rossi …