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...

A stylized fact is that realized variance has long memory. We show that, when the instantaneous volatility is a long memory process of order <italic>d</italic>, the integrated variance is characterized by the same long-range dependence. We prove that the spectral density of realized variance is given by the sum...