## 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
β¦ LIBER β¦
The bivariate GARCH approach to investigating the relation between stock returns, trading volume, and return volatility
β Scribed by Chuang, Wen-I; Liu, Hsiang-Hsi; Susmel, Rauli
- Book ID
- 119241792
- Publisher
- Elsevier Science
- Year
- 2012
- Tongue
- English
- Weight
- 243 KB
- Volume
- 23
- Category
- Article
- ISSN
- 1044-0283
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Trading imbalances reflect the quality of market information and may contain more information than the number of trades or trading volume. In order to better understand how trading imbalances play a role different from traditional variables (i.e., number of trades and trading volume) in explaining v