Surprise volume and heteroskedasticity in equity market returns
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Publication:5697322
DOI10.1080/14697680500147978zbMATH Open1118.91357OpenAlexW3124888226MaRDI QIDQ5697322FDOQ5697322
Authors: Niklas Wagner, Terry A. Marsh 
Publication date: 17 October 2005
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10419/48531
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Cites Work
- Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
- Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process.
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
- ARCH modeling in finance. A review of the theory and empirical evidence
- The Price Variability-Volume Relationship on Speculative Markets
- Multivariate Stochastic Variance Models
- Exogeneity
- 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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