Dynamic relationship among intraday realized volatility, volume and number of trades

DOI10.1007/S10690-010-9126-0MaRDI QIDQ651375zbMATH OpenOpenAlexFDO

Authors Juan-Miguel Gracia

Publication date 13 December 2011

Published in Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10690-010-9126-0

zbMATH Keywords

realized volatilityvector autoregressive modelhigh frequency datatrading volumeimpulse response function

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; risk measures (91G70) Portfolio theory (91G10)

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Cites work

• A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
• Applied multivariate statistical analysis.
• Causal and dynamic relationships among stock returns, return volatility and trading volume: Evidence from emerging markets in South-East Asia

Cited in

(3)

• The impact of transaction duration, volume and direction on price dynamics and volatility
• Liquidity and volatility of stocks moved from the main market to the alternative investment market (AIM)
• New evidence on the relation between return volatility and trading volume

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