Surprising information, the MDH, and the relationship between volatility and trading volume
β Scribed by Beum-Jo Park
- Book ID
- 116482359
- Publisher
- Elsevier Science
- Year
- 2010
- Tongue
- English
- Weight
- 343 KB
- Volume
- 13
- Category
- Article
- ISSN
- 1386-4181
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
## 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
## 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