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Modeling interactions of trading volumes in financial dynamics

โœ Scribed by F. Ren; B. Zheng; P. Chen

Publisher
Elsevier Science
Year
2010
Tongue
English
Weight
423 KB
Volume
389
Category
Article
ISSN
0378-4371

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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