This paper proposes a new intraday volatility forecasting model, particularly suitable for modeling a large number of assets. We decompose volatility of high-frequency returns into components that may be easily interpreted and estimated. The conditional variance is a product of daily, diurnal,...

In this paper we extend the model of Easley and O’Hara (1992) to allow the arrival rates of informed and uninformed trades to be time-varying and forecastable. We specify a generalized autoregressive bivariate process for the arrival rates of informed and uninformed trades and estimate the...

In this paper, we define dynamic and static factors and distinguish between the dynamic and static structure of asset excess returns. We examine the value-weighted market portfolio as a dynamic factor and propose an intuitively appealing procedure to search for more dynamic factors. We find...

We model the interrelations of equity market volatility in eight East Asian countries before, during, and after the Asian currency crisis. Using a new class of asymmetric volatility multiplicative error models based on the daily range, we find that dynamic propagation of volatility shocks occurs...