Dynamic relationship among intraday realized volatility, volume and number of trades
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Publication:651375
DOI10.1007/s10690-010-9126-0zbMath1274.91487MaRDI QIDQ651375
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
high frequency data; realized volatility; impulse response function; trading volume; vector autoregressive model
91G70: Statistical methods; risk measures
91G20: Derivative securities (option pricing, hedging, etc.)
91G10: Portfolio theory