An investigation on the relationship between return and trading volume: asymmetric V-type or asymmetric increasing-type pattern

DOI10.1080/14697688.2016.1264619zbMath1402.91761OpenAlexW2585992268MaRDI QIDQ4555135

Shihti Yu, Kuang-Liang Chang

Publication date: 19 November 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2016.1264619

zbMATH Keywords

jump processmixture copulaasymmetric price-volume relationshiptime-varying weight

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Unnamed Item
• Modelling total tail dependence along diagonals
• Minimal returns and the breakdown of the price-volume relation
• Asymptotic efficiency of the two-stage estimation method for copula-based models
• Long Memory in Integrated and Realized Variance
• Testing for Asymmetric Dependence
• The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for the Mixture-of-Distributions Hypothesis

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