Volume, volatility, and leverage: A dynamic analysis
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Cites work
- scientific article; zbMATH DE number 88834 (Why is no real title available?)
- scientific article; zbMATH DE number 854579 (Why is no real title available?)
- A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
- A floor and ceiling model of US output
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- Asymptotic Filtering Theory for Univariate Arch Models
- Asymptotic Normality of Series Estimators for Nonparametric and Semiparametric Regression Models
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- ESTIMATION OF CONTINUOUS-TIME MODELS FOR STOCK RETURNS AND INTEREST RATES
- Estimating the dimension of a model
- Forecasting and conditional projection using realistic prior distributions
- Long memory relationships and the aggregation of dynamic models
- Modeling and pricing long memory in stock market volatility
- Nonlinear Dynamic Structures
- Qualitative and asymptotic performance of SNP density estimators
- Rational transfer function approximation (with discussion)
- Semi-Nonparametric Maximum Likelihood Estimation
- The Price Variability-Volume Relationship on Speculative Markets
- The relative efficiency of method of moments estimators
- Variance Function Estimation
Cited in
(21)- Conditional Likelihood Estimators for Hidden Markov Models and Stochastic Volatility Models
- Analysis of volatility feedback and leverage effects on the ISE30 index using high frequency data
- Time reversibility tests of volume-volatility dynamics for stock returns
- Volatility puzzles: a simple framework for gauging return-volatility regressions
- Volatility models for stylized facts of high‐frequency financial data
- The estimation of leverage effect with high-frequency data
- Indirect inference and calibration of dynamic stochastic general equilibrium models
- Explaining bond returns in heterogeneous agent models: The importance of higher-order moments
- Improving the asymmetric stochastic volatility model with ex-post volatility: the identification of the asymmetry
- Modeling long memory in stock market volatility
- State heterogeneity analysis of financial volatility using high-frequency financial data
- Leverage causes fat tails and clustered volatility
- Why does bad news increase volatility and decrease leverage?
- Leverage as a predictor for real activity and volatility
- Cross-correlations between volume change and price change
- A generalized bivariate mixture model for stock price volatility and trading volume
- A nonparametric test of the mixture-of-distributions model
- Dynamic relationship among intraday realized volatility, volume and number of trades
- Overparameterization in the seminonparametric density estimation
- A semiparametric stochastic volatility model
- Nonlinear Dynamic Structures
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