In this paper, the vector autoregressive model is fitted to find out the causal relationship among realized volatility, the number of transactions and volume with the intraday time intervals of 10, 20 and 30 minutes. To understand the impact of shock to the market on specific variables, a...

Most multivariate variance models suffer from a common problem, the “curse of dimensionality”. For this reason, most are fitted under strong parametric restrictions that reduce the interpretation and flexibility of the models. Recently, the literature has focused on multivariate models with...