Volume, volatility, and leverage: A dynamic analysis

DOI10.1016/0304-4076(95)01755-0zbMath0862.90045MaRDI QIDQ1126500

S. H. Smith

Publication date: 8 December 1996

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(95)01755-0

zbMATH Keywords

nonlinear processes; financial time series; trading volume; stock price volatility; dynamic impulse response analysis

Mathematics Subject Classification ID

91B84: Economic time series analysis

Related Items

Overparameterization in the seminonparametric density estimation, Explaining bond returns in heterogeneous agent models: The importance of higher-order moments

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