During the last decades a wide literature has focused on the relationship volume-volatility on financial markets. This … paper investigates the temporal dynamics of volatility and volumes, supposing, as in Bollerslev and Jubinsky (1999), that …. We analyze the volume-volatility relationship using IBM stocks data. In particular, we rely on the realized volatility …

. Our analysis improves upon existing work by endogenising the volatility of both output and inflation. Improved … transparency most likely manifests itself in falling output volatility. …

as bull and bear market dynamics and excess volatility. …

This paper employs multivariate GARCH models with a BEKK specification to show significant shock and volatility … markets from shock and volatility spillovers in mature markets is real. Although emerging Asian local bond market volatilities … are more determined by their own respective shocks and volatilities, in some markets the direct shock and volatility …

exist. Concerning the controversial issues we find that (i) volatility effects depend on the existence of tax havens and on …

-ask spreads and depth), returns, volatility, and order flow in the stock and bond markets. We find that a shock to quoted spreads … in one market affects the spreads in both markets, and that return volatility is an important driver of liquidity …. Innovations to stock and bond market liquidity and volatility prove to be significantly correlated, suggesting that common factors …