A generalized bivariate mixture model for stock price volatility and trading volume (Q5944504)
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scientific article; zbMATH DE number 1654544
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| English | A generalized bivariate mixture model for stock price volatility and trading volume |
scientific article; zbMATH DE number 1654544 |
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A generalized bivariate mixture model for stock price volatility and trading volume (English)
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10 October 2001
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volatility persistence
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long-run volatility components
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latent dynamic variables
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leverage effect
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simulated maximum likelihood
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short volatility components
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0.8999039
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0.88701713
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0.8735577
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0.8720711
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0.8698222
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0.8663966
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