Dynamic relationship among intraday realized volatility, volume and number of trades
type: Item
instance of: scholarly article
title: Dynamic relationship among intraday realized volatility, volume and number of trades
zbMATH Open document ID: 1274.91487
author: Juan-Miguel Gracia
published in: Asia-Pacific Financial Markets
publication date: 2011-12-13T00:00:00Z
Mathematics Subject Classification ID: 91G70
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 91G20
zbMATH DE Number: 5988034
zbMATH Keywords: high frequency data
zbMATH Keywords: impulse response function
zbMATH Keywords: realized volatility
zbMATH Keywords: trading volume
zbMATH Keywords: vector autoregressive model
MaRDI profile type: Publication
full work available at URL: s10690-010-9126-0
OpenAlex ID: W2133728996
cites work: A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
cites work: Q5452361
cites work: Causal and dynamic relationships among stock returns, return volatility and trading volume: Evidence from emerging markets in South-East Asia
DOI: 10.1007/S10690-010-9126-0
description: scientific article; zbMATH DE number 5988034