A multiplicative model for volume and volatility

DOI10.1080/13504869500000008MaRDI QIDQ4994404zbMATH OpenOpenAlexFDO

Authors Rob Bauer, Fred Nieuwland

Publication date 18 June 2021

Published in Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/13504869500000008

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial markets (91G15)

Recommendations

• A generalized bivariate mixture model for stock price volatility and trading volume
• scientific article; zbMATH DE number 1106711
• Modelling volatility by variance decomposition
• A nonparametric test of the mixture-of-distributions model
• Multivariate mixed normal conditional heteroskedasticity

Cites work

• A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
• ARCH modeling in finance. A review of the theory and empirical evidence
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Diagnostic tests as residual analysis
• Exogeneity
• Generalized autoregressive conditional heteroscedasticity
• scientific article; zbMATH DE number 5010681 (Why is no real title available?)
• MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY
• The Dynamics of Short-Term Interest Rate Volatility Reconsidered
• The Price Variability-Volume Relationship on Speculative Markets
• The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for the Mixture-of-Distributions Hypothesis

Cited in

(9)

• Mixture of distribution hypothesis: analyzing daily liquidity frictions and information flows
• A multiple indicators model for volatility using intra-daily data
• Distribution of volume on the German Stock Market
• scientific article; zbMATH DE number 5307313 (Why is no real title available?)
• A nonparametric test of the mixture-of-distributions model
• Inventory Effects on Daily Returns in Financial Markets
• Modeling market impact and timing risk in volume time
• Surprise volume and heteroskedasticity in equity market returns
• A generalized bivariate mixture model for stock price volatility and trading volume

This page was built for publication: A multiplicative model for volume and volatility

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4994404)