Wang, Tianyi; Huang, Zhuo - In: Annals of Economics and Finance 13 (2012) 1, pp. 211-236
We use heterogeneous autoregressive (HAR) model with high-frequency data of Hu-Shen 300 index to investigate the volatility-volume relationship via the volatility decomposition approach. Although we find that the continuous component of daily volatility is positively correlated with trading...