Tail relation between return and volume in the US stock market: an analysis based on extreme value theory

DOI10.1016/J.ECONLET.2016.06.026zbMath1398.62314OpenAlexW2473416588MaRDI QIDQ1670217

Giovanni Pagliardi, Francois Longin

Publication date: 5 September 2018

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2016.06.026

zbMATH Keywords

extreme value theorystock market volatilitypeaks-over-threshold methodextreme correlationreturn-volume dependence

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32)

Related Items (2)

Quantile transfer entropy: measuring the heterogeneous information transfer of nonlinear time series ⋮ An application of extreme value theory to cryptocurrencies

Cites Work

• Minimal returns and the breakdown of the price-volume relation
• Continuous Auctions and Insider Trading
• Bivariate extreme value theory: Models and estimation
• Statistics for near independence in multivariate extreme values

This page was built for publication: Tail relation between return and volume in the US stock market: an analysis based on extreme value theory