An investigation on the relationship between return and trading volume: asymmetric V-type or asymmetric increasing-type pattern
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Publication:4555135
DOI10.1080/14697688.2016.1264619zbMath1402.91761OpenAlexW2585992268MaRDI QIDQ4555135
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
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
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- 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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