The Price Variability-Volume Relationship on Speculative Markets

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(91)

An extensive analysis on the Japanese markets via S. Taylor's model
Volume, volatility, and leverage: A dynamic analysis
Diagnostic testing and evaluation of maximum likelihood models
Extremes of stochastic volatility models
The relative efficiency of method of moments estimators
Dynamic price formation in a futures market via double auctions
Estimation of stochastic volatility models with diagnostics
Heterogeneous information arrival and option pricing
Dynamic equilibrium and volatility in financial asset markets
Correlated ARCH (CorrARCH): modelling the time-varying conditional correlation between financial asset returns
Mixture of distribution hypothesis: analyzing daily liquidity frictions and information flows
Financial econometrics: Past developments and future challenges
Cross-validated SNP density estimates
Asset pricing using trading volumes in a hidden regime-switching environment
Stock market volatility and public information flow: a non-linear perspective
The behavioral implications of the bilateral gamma process
The perfect marriage and much more: combining dimension reduction, distance measures and covariance
Theoretical and empirical analysis of trading activity
An equation-by-equation estimator of a multivariate log-GARCH-X model of financial returns
On Bayesian value at risk: from linear to non-linear portfolios
The stochastic conditional duration model: a latent variable model for the analysis of financial durations
Robust Bayesian analysis of heavy-tailed stochastic volatility models using scale mixtures of normal distributions
Capturing common components in high-frequency financial time series: a multivariate stochastic multiplicative error model
Nonlinearity of the volume-volatility correlation filtered through the pointwise Hurst-Hölder regularity
No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: theory and testable distributional implications
Discovering stock dynamics through multidimensional volatility phases
A Gaussian approximation scheme for computation of option prices in stochastic volatility models
Extracting a common stochastic trend: theory with some applications
Cross-correlations between volume change and price change
Generalized EGARCH Random Effect Models Application to Financial Time Series
A comparison of pricing kernels for GARCH option pricing with generalized hyperbolic distributions
CONDITIONS FOR THE PROPAGATION OF MEMORY PARAMETER FROM DURATIONS TO COUNTS AND REALIZED VOLATILITY
More on the volatility-trading volume relationship in emerging markets: The Chinese stock market
There's more to volatility than volume
Analysing liquidity and absorption limits of electronic markets with volume durations
ON THE RATE OF INFORMATION ABSORPTION IN THE CONDITIONAL VARIANCE OF SES DUAL LISTED STOCKS
MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY
Filtering a nonlinear stochastic volatility model
Empirical Performance and Asset Pricing in Hidden Markov Models
Stochastic volatility: Bayesian computation using automatic differentiation and the extended Kalman filter
AVALANCHE DYNAMICS AND TRADING FRICTION EFFECTS ON STOCK MARKET RETURNS
A THRESHOLD MODEL FOR STOCK RETURN VOLATILITY AND TRADING VOLUME
Trading volume in models of financial derivatives
Point and density prediction of intra-day volume using Bayesian linear ACV models: evidence from the Polish stock market
Testing for volatility co-movement in bivariate stochastic volatility models
A nonparametric test of the mixture-of-distributions model
TOWARDS A MULTIFRACTAL PARADIGM OF STOCHASTIC VOLATILITY?
Precious metals under the microscope: a high-frequency analysis
Modelling stochastic volatility using generalized t distribution
Stochastic volatility models for ordinal-valued time series with application to finance
On diagnostic checking autoregressive conditional duration models with wavelet-based spectral density estimators
A multiplicative model for volume and volatility
Normally distributed high-frequency returns: a subordination approach
Option pricing under autoregressive random variance models
Stochastic Volatility Models Predictive Relevance for Equity Markets
Cross-sectional variation of intraday liquidity, cross-impact, and their effect on portfolio execution
Stochastic volatility with regime switching and uncertain noise: filtering with sub-linear expectations
Portfolio return distributions: sample statistics with stochastic correlations
Bayesian modeling of financial returns: a relationship between volatility and trading volume
Estimation of Stochastic Volatility Models: An Approximation to the Nonlinear State Space Representation
Foreign Exchange Intervention by the Bank of Japan: Bayesian Analysis Using a Bivariate Stochastic Volatility Model
Surprise volume and heteroskedasticity in equity market returns
A generalized bivariate mixture model for stock price volatility and trading volume
Price fluctuations and market activity
Quantifying economic fluctuations
Gaussian mixture modelling to detect random walks in capital markets
Bridging stylized facts in finance and data non-stationarities
Fluctuation scaling and covariance matrix of constituents' flows on a bipartite graph empirical analysis with high-frequency financial data based on a Poisson mixture model
A threshold stochastic volatility model with explanatory variables
Multivariate asset-pricing model based on subordinated stable processes
On filtering and estimation of a threshold stochastic volatility model
Generalized Jump Regressions for Local Moments
Dynamic Discrete Mixtures for High-Frequency Prices
Realized Quantiles^*
Uniform Nonparametric Inference for Spatially Dependent Panel Data
An unbounded intensity model for point processes
On the spectral density of fractional Ornstein-Uhlenbeck processes
A note on intraday foreign exchange volatility and the informational role of quote arrivals
FX futures invariance
Fractional Gaussian noise: spectral density and estimation methods
Structural changes and statistical causal relationships in agricultural commodities markets: the impact of public news sentiment and institutional announcements
Nonlinear intraday trading invariance in the Russian stock market
Bad news and Dow Jones make the Spanish stocks go round
To be or not to be: roughness or long memory in volatility?
Big-data for high-frequency volatility analysis with time-deformed observations
Dynamic order dispersion and volatility persistence in a simple limit order book model
Short-term market changes and market making with inventory
Causal and dynamic relationships among stock returns, return volatility and trading volume: Evidence from emerging markets in South-East Asia
Quantifying and understanding the economics of large financial movements
Long-memory and heterogeneous components in high frequency Pacific-Basin exchange rate volatility
The dynamic relations among return volatility, trading imbalance, and trading volume in futures markets

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