A multiplicative model for volume and volatility

DOI10.1080/13504869500000008zbMath1466.91305OpenAlexW2153091964MaRDI QIDQ4994404

Rob Bauer, Fred Nieuwland

Publication date: 18 June 2021

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/13504869500000008

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial markets (91G15)

Cites Work

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• Exogeneity
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• The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for the Mixture-of-Distributions Hypothesis
• MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY
• The Dynamics of Short-Term Interest Rate Volatility Reconsidered

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