๐”– Bobbio Scriptorium
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A Bayesian analysis of stock return volatility and trading volume

โœ Scribed by Mahieu, Ronald; Bauer, Rob

Book ID
120306891
Publisher
Taylor and Francis Group
Year
1998
Tongue
English
Weight
435 KB
Volume
8
Category
Article
ISSN
0960-3107

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## Abstract The modified mixture model with Markov switching volatility specification is introduced to analyze the relationship between stock return volatility and trading volume. We propose to construct an algorithm based on Markov chain Monte Carlo simulation methods to estimate all the parameter