Dynamic relationship among intraday realized volatility, volume and number of trades (Q651375)
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scientific article; zbMATH DE number 5988034
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| English | Dynamic relationship among intraday realized volatility, volume and number of trades |
scientific article; zbMATH DE number 5988034 |
Statements
Dynamic relationship among intraday realized volatility, volume and number of trades (English)
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13 December 2011
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high frequency data
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impulse response function
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realized volatility
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trading volume
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vector autoregressive model
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0.7554517984390259
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0.7386462688446045
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0.7385482788085938
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0.7371912598609924
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