Dynamic relationship among intraday realized volatility, volume and number of trades

DOI10.1007/S10690-010-9126-0zbMath1274.91487OpenAlexW2133728996MaRDI QIDQ651375

Juan-Miguel Gracia

Publication date: 13 December 2011

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-010-9126-0

zbMATH Keywords

high frequency datarealized volatilityimpulse response functiontrading volumevector autoregressive model

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Related Items (1)

Liquidity and volatility of stocks moved from the main market to the alternative investment market (AIM)

Cites Work

• Unnamed Item
• Causal and dynamic relationships among stock returns, return volatility and trading volume: Evidence from emerging markets in South-East Asia
• A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices

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