Surprise volume and heteroskedasticity in equity market returns
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Publication:5697322
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Cites work
- A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
- ARCH modeling in finance. A review of the theory and empirical evidence
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Exogeneity
- Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process.
- Multivariate Stochastic Variance Models
- Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
- The Price Variability-Volume Relationship on Speculative Markets
- Time reversibility tests of volume-volatility dynamics for stock returns
Cited in
(4)- Empirical analysis of dynamic correlations of stock returns: evidence from Chinese A-share and B-share markets
- Foreign ownership and volatility dynamics of Indonesian stocks
- Uniform and \(L_p\) convergences for nonparametric continuous time regressions with semiparametric applications
- Volatility modeling and prediction: the role of price impact
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