The Impact of Trades on Daily Volatility

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How researchers see this paper

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Short-Sale Strategies and Return Predictability (2009, background): “Our findings are consistent with a recent paper by Avramov, Chordia, and Goyal (2006), who study the impact of trades on daily volatility.”
Stock Returns, Implied Volatility Innovations, and the Asymmetric Volatility Phenomenon (2006, background): “This exploration is motivated by our results in Section 3, which suggest: (1) that asymmetric volatility behavior will be stronger for index returns than for firm-level returns, and (2) that firm-level asymmetric volatility behavior will be stronger when modeling firm-level conditional volatility as”
Asymmetric Connectedness on the U.S. Stock Market: Bad and Good Volatility Spillovers (2015, unknown): “In addition, Avramov et al. (2006) argue that a positive return is followed by selling activity that is dominated by informed traders who tend to reduce volatility.”
How stable are stablecoins? (2021, unknown): “We implement an autoregressive model of order 1 (AR(1)) in the mean equation to control for serial correlation in returns as suggested by Avramov, Chordia, and Goyal (2006), and a Threshold-GARCH model (T-GARCH) developed by Glosten, Jagannathan, and Runkle (1993) to allow for asymmetric effects.”