Volume, volatility, and leverage: A dynamic analysis
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Publication:1126500
DOI10.1016/0304-4076(95)01755-0zbMath0862.90045OpenAlexW3125547429MaRDI QIDQ1126500
Publication date: 8 December 1996
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0304-4076(95)01755-0
nonlinear processesfinancial time seriestrading volumestock price volatilitydynamic impulse response analysis
Related Items (15)
Indirect inference and calibration of dynamic stochastic general equilibrium models ⋮ Volatility puzzles: a simple framework for gauging return-volatility regressions ⋮ Conditional Likelihood Estimators for Hidden Markov Models and Stochastic Volatility Models ⋮ Time reversibility tests of volume-volatility dynamics for stock returns ⋮ Volatility models for stylized facts of high‐frequency financial data ⋮ Improving the asymmetric stochastic volatility model with ex-post volatility: the identification of the asymmetry ⋮ A nonparametric test of the mixture-of-distributions model ⋮ A generalized bivariate mixture model for stock price volatility and trading volume ⋮ Cross-correlations between volume change and price change ⋮ A semiparametric stochastic volatility model ⋮ The Estimation of Leverage Effect With High-Frequency Data ⋮ Overparameterization in the seminonparametric density estimation ⋮ Explaining bond returns in heterogeneous agent models: The importance of higher-order moments ⋮ Modeling long memory in stock market volatility ⋮ State Heterogeneity Analysis of Financial Volatility using high‐frequency Financial Data
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