More on the volatility-trading volume relationship in emerging markets: The Chinese stock market

DOI10.1080/02664760802509101zbMath1473.62355OpenAlexW2042988483MaRDI QIDQ3184496

Quiterie de Rorthays, Loredana Ureche-Rangau

Publication date: 21 October 2009

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02664760802509101

zbMATH Keywords

volatility persistencelong-memorytrading volume

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• Several possible measures of risk
• Fractionally integrated generalized autoregressive conditional heteroskedasticity
• Semiparametric analysis of long-memory time series
• Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data
• Generalized autoregressive conditional heteroscedasticity
• Log-periodogram regression of time series with long range dependence
• Varieties of long memory models
• Modeling and pricing long memory in stock market volatility
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• The Price Variability-Volume Relationship on Speculative Markets
• A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
• The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for the Mixture-of-Distributions Hypothesis
• A Nonparametric Test for I(0)

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