The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for the Mixture-of-Distributions Hypothesis
From MaRDI portal
Publication:4082515
DOI10.2307/1912726zbMath0319.90014OpenAlexW2038295726MaRDI QIDQ4082515
Publication date: 1976
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/1912726
Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Trade models (91B60)
Related Items
No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: theory and testable distributional implications, Stochastic volatility in asset prices. Estimation with simulated maximum likelihood, Causal and dynamic relationships among stock returns, return volatility and trading volume: Evidence from emerging markets in South-East Asia, Trading volume in models of financial derivatives, Quantifying and understanding the economics of large financial movements, CONDITIONS FOR THE PROPAGATION OF MEMORY PARAMETER FROM DURATIONS TO COUNTS AND REALIZED VOLATILITY, More on the volatility-trading volume relationship in emerging markets: The Chinese stock market, An investigation on the relationship between return and trading volume: asymmetric V-type or asymmetric increasing-type pattern, Capturing common components in high-frequency financial time series: a multivariate stochastic multiplicative error model, Long-memory and heterogeneous components in high frequency Pacific-Basin exchange rate volatility, The volume-volatility relationship and the opening of the Korean stock market to foreign investors after the financial turmoil in 1997, Heterogeneous information arrival and option pricing, Dynamic equilibrium and volatility in financial asset markets, Theoretical and empirical analysis of trading activity, On Bayesian value at risk: from linear to non-linear portfolios, Analysing liquidity and absorption limits of electronic markets with volume durations, Nonlinearity of the volume-volatility correlation filtered through the pointwise Hurst-Hölder regularity, On the measurement and treatment of extremes in time series, A nonparametric test of the mixture-of-distributions model, TOWARDS A MULTIFRACTAL PARADIGM OF STOCHASTIC VOLATILITY?, Bad news and Dow Jones make the Spanish stocks go round, Asset pricing using trading volumes in a hidden regime-switching environment, Price fluctuations and market activity, Quantifying economic fluctuations, New evidence on the relation between return volatility and trading volume, Stock market volatility and public information flow: a non-linear perspective, Cross-correlations between volume change and price change, Foreign Exchange Intervention by the Bank of Japan: Bayesian Analysis Using a Bivariate Stochastic Volatility Model, A multiplicative model for volume and volatility
