Equity Trading Volume and Volatility: Latent Information Arrivals and Common Long-Run Dependencies
研究标普100成分股交易量与波动率的长期依赖关系，发现两者均具有分数维整合特征，且长期衰减速率在每对交易量-波动率中相同，支持混合分布假说中新闻到达过程的长期记忆性。
This article examines the behavior of equity trading volume and volatility for the individual firms composing the Standard & Poor's 100 composite index. Using multivariate spectral methods, we find that fractionally integrated processes best describe the long-run temporal dependencies in both series. Consistent with a stylized mixture-of-distributions hypothesis model in which the aggregate "news"-arrival process possesses long-memory characteristics, the long-run hyperbolic decay rates appear to be common across each volume-volatility pair.