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

DOI10.1007/S10690-010-9126-0zbMATH Open1274.91487OpenAlexW2133728996MaRDI QIDQ651375FDOQ651375

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

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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)

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)

• 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
• The impact of transaction duration, volume and direction on price dynamics and volatility

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