volatility and the spread used for trading. The results of the trading strategies suggest that cointegrated portfolios based on … part of the econometric analysis explores Granger causality between volatility and the spread. For this analysis, we … implement two types of forecasting models for Bitcoin volatility: the GARCH (generalized autoregressive conditional …

In this paper we investigate the relationship between volatility, measured by realized volatility, and trading volume …. We show that volume and volatility are long memory but they are not driven by the same latent factor as suggested by the … extreme dependence in the volatility and volume innovations. Tail dependence is particularly interesting, since, it is …

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 …