Time reversibility tests of volume-volatility dynamics for stock returns

DOI10.1016/S0165-1765(03)00146-0zbMath1254.91586MaRDI QIDQ1927371

Wai Mun Fong

Publication date: 1 January 2013

Published in: Economics Letters (Search for Journal in Brave)

zbMATH Keywords

nonparametric test; time reversibility; ARCH and trading volume

Mathematics Subject Classification ID

91B84: Economic time series analysis

91B82: Statistical methods; economic indices and measures