Browsing by Keywords "Volume-volatility nexus"
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Essays in empirical finance
(Bilkent University, 2019-12)This thesis comprise three essays that investigate foreign exchange market volatility and its dynamics using high frequency exchange rate data. In the first essay, we decompose the jump component of USDTRY exchange rate ... -
Intraday volume-volatility nexus in the FX markets: evidence from an emerging market
(Elsevier, 2019)Using a dataset on local banks' daily FX transaction volume segregated into counterparty and transaction types, this article investigates the relationship between trading volume and intraday realized volatility for the US ...