This paper reexamines the dynamic relation between intraday trading volume and return volatility of large and small NYSE stocks in two partitioned samples, with and without identifiable public news. We argue that the sequential information arrival hypothesis (SIAH) can be tested only in periods...

Much research in finance has been directed towards forecasting time varying volatility of unidimensional macroeconomic variables such as stock index, exchange rate and interest rate. However, comparatively little is devoted to modelling time varying correlation. In this research, we extend the...