vary according to whether they are in low or high volatility regimes. …

This paper examines long memory volatility in the cross-section of stock returns. We show that long memory volatility … capitalization, book-to-market ratio, prior performance and price jumps. Long memory volatility is negatively priced in the cross …-section. Buying stocks with shorter memory and selling stocks with longer memory in volatility generates significant excess returns of …

assets because they are updated more rapidly in response to news. This paper explores persistence in high-frequency data (and … trade records) using R/S analysis and the Hurst exponent as a measure of persistence. The results show that persistence is … intraday ones are anti-persistent. In addition, persistence varies over time. These findings imply that the Efficient Market …

The research investigated the impact of macroeconomic variables on the volatility of the commodity futures market in … daily price volatility is studied in the research employed by the GARCH-MIDAS model. This model simplifies the series of … volatility into long- and short-run modules, which allow for the testing of the macroeconomic variables can control the long …

We investigate intraday seasonality in, and relationships between, informational efficiency, volatility, volume and …