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 the link has to be found in their long-run...

A stylized fact is that realized variance has long memory. We show that, when the instantaneous volatility is driven by a fractional Brownian motion, the integrated variance is characterized by long-range dependence. As a consequence, the realized variance inherits this property when prices are...

We propose the indirect inference estimator as a consistent method to estimate the parameters of a structural model when the observed series are contaminated by measurement error by considering the noise as a structural feature. We show that the indirect inference estimates are asymptotically...

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 fractional cointegration analysis. We analyze the degree...

A modification of the self-perturbed Kalman filter of Park and Jun (1992) is proposed for the on-line estimation of models subject to parameter in stability. The perturbation term in the updating equation of the state covariance matrix is weighted by the measurement error variance, thus avoiding...