Volume, volatility, and leverage: A dynamic analysis
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Publication:1126500
DOI10.1016/0304-4076(95)01755-0zbMATH Open0862.90045OpenAlexW3125547429MaRDI QIDQ1126500FDOQ1126500
Authors: 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
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Cites Work
- Estimating the dimension of a model
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- 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
- Forecasting and conditional projection using realistic prior distributions
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- The Price Variability-Volume Relationship on Speculative Markets
- Modeling and pricing long memory in stock market volatility
- Variance Function Estimation
- Long memory relationships and the aggregation of dynamic models
- The relative efficiency of method of moments estimators
- Asymptotic Normality of Series Estimators for Nonparametric and Semiparametric Regression Models
- ESTIMATION OF CONTINUOUS-TIME MODELS FOR STOCK RETURNS AND INTEREST RATES
- Nonlinear Dynamic Structures
- Qualitative and asymptotic performance of SNP density estimators
- A floor and ceiling model of US output
- Rational transfer function approximation (with discussion)
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- Asymptotic Filtering Theory for Univariate Arch Models
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Cited In (21)
- Cross-correlations between volume change and price change
- Indirect inference and calibration of dynamic stochastic general equilibrium models
- A nonparametric test of the mixture-of-distributions model
- Overparameterization in the seminonparametric density estimation
- Analysis of volatility feedback and leverage effects on the ISE30 index using high frequency data
- Volatility puzzles: a simple framework for gauging return-volatility regressions
- Modeling long memory in stock market volatility
- Volatility models for stylized facts of high‐frequency financial data
- Improving the asymmetric stochastic volatility model with ex-post volatility: the identification of the asymmetry
- Leverage as a predictor for real activity and volatility
- Why does bad news increase volatility and decrease leverage?
- Time reversibility tests of volume-volatility dynamics for stock returns
- A semiparametric stochastic volatility model
- The estimation of leverage effect with high-frequency data
- Leverage causes fat tails and clustered volatility
- Dynamic relationship among intraday realized volatility, volume and number of trades
- State heterogeneity analysis of financial volatility using high-frequency financial data
- Nonlinear Dynamic Structures
- Conditional Likelihood Estimators for Hidden Markov Models and Stochastic Volatility Models
- Explaining bond returns in heterogeneous agent models: The importance of higher-order moments
- A generalized bivariate mixture model for stock price volatility and trading volume
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