A generalized bivariate mixture model for stock price volatility and trading volume

DOI10.1016/S0304-4076(01)00062-8zbMath0998.62092MaRDI QIDQ5944504

Roman Liesenfeld

Publication date: 10 October 2001

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

latent dynamic variablesleverage effectlong-run volatility componentsshort volatility componentssimulated maximum likelihoodvolatility persistence

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (9)

Capturing common components in high-frequency financial time series: a multivariate stochastic multiplicative error model ⋮ Theoretical and empirical analysis of trading activity ⋮ Concurrent processing of heteroskedastic vector-valued mixture density models ⋮ Trading volume in financial markets: an introductory review ⋮ A nonparametric test of the mixture-of-distributions model ⋮ TOWARDS A MULTIFRACTAL PARADIGM OF STOCHASTIC VOLATILITY? ⋮ Using information quality for volatility model combinations ⋮ Local polynomial Whittle estimation of perturbed fractional processes ⋮ Interpretation and inference in mixture models: simple MCMC works

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