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Asymmetric volatility and trading volume: The G5 evidence

✍ Scribed by Omid Sabbaghi

Book ID
116511920
Publisher
Elsevier Science
Year
2011
Tongue
English
Weight
277 KB
Volume
22
Category
Article
ISSN
1044-0283

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πŸ“œ SIMILAR VOLUMES

New evidence on the relation between ret
New evidence on the relation between return volatility and trading volume
✍ Thomas C. Chiang; Zhuo Qiao; Wing-Keung Wong πŸ“‚ Article πŸ“… 2009 πŸ› John Wiley and Sons 🌐 English βš– 122 KB

## Abstract In the empirical literature, it has been shown that there exists both linear and non‐linear bi‐directional causality between trading volumes and return volatility (measured by the square of daily return). We re‐examine this claim by using realized volatility as an estimator of the unobs