Tail relation between return and volume in the US stock market: an analysis based on extreme value theory
type: Item
instance of: scholarly article
title: Tail relation between return and volume in the US stock market: an analysis based on extreme value theory
zbMATH Open document ID: 1398.62314
author: Giovanni Pagliardi
author: Francois Longin
published in: Economics Letters
publication date: 2018-09-05T00:00:00Z
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 62G32
Mathematics Subject Classification ID: 60G70
zbMATH DE Number: 6932047
zbMATH Keywords: extreme value theory
zbMATH Keywords: peaks-over-threshold method
zbMATH Keywords: return-volume dependence
zbMATH Keywords: stock market volatility
zbMATH Keywords: extreme correlation
MaRDI profile type: Publication
full work available at URL: j.econlet.2016.06.026
OpenAlex ID: W2473416588
cites work: Minimal returns and the breakdown of the price-volume relation
cites work: Continuous Auctions and Insider Trading
cites work: Statistics for near independence in multivariate extreme values
cites work: Bivariate extreme value theory: Models and estimation
DOI: 10.1016/J.ECONLET.2016.06.026
description: scientific article; zbMATH DE number 6932047