Empirical study on relationship between persistence-free trading volume and stock return volatility
β Scribed by Wen Fenghua; Yang Xiaoguang
- Book ID
- 116511871
- Publisher
- Elsevier Science
- Year
- 2009
- Tongue
- English
- Weight
- 177 KB
- Volume
- 20
- Category
- Article
- ISSN
- 1044-0283
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
## Abstract In the empirical literature, it has been shown that there exists both linear and nonβlinear biβdirectional causality between trading volumes and return volatility (measured by the square of daily return). We reβexamine this claim by using realized volatility as an estimator of the unobs
## 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