Volume, volatility, and leverage: A dynamic analysis
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Publication:1126500
DOI10.1016/0304-4076(95)01755-0zbMath0862.90045MaRDI QIDQ1126500
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
nonlinear processes; financial time series; trading volume; stock price volatility; dynamic impulse response analysis
91B84: Economic time series analysis