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Trading Volume, Volatility and Leverage
Language: en
Pages: 64
Authors: Ayesha Rawoo
Categories:
Type: BOOK - Published: 2011-08 - Publisher: LAP Lambert Academic Publishing

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Knowledge of volatility is of crucial importance in many areas. The Stock Market of Mauritius did not remain untouched. This paper explores the relationship bet
Volume, Volatility, and Leverage
Language: en
Pages: 46
Authors: George Tauchen
Categories:
Type: BOOK - Published: 2009 - Publisher:

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This paper uses dynamic impulse response analysis to investigate the interrelationships among stock price volatility, trading volume, and the leverage effect. D
Stochastic Volatility and Time Deformation
Language: en
Pages:
Authors: Joann Jasiak
Categories:
Type: BOOK - Published: 2012 - Publisher:

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In this paper, we study stochastic volatility models with time deformation. Such processes relate to the early work by Mandelbrot and Taylor (1967), Clark (1973
Stochastic Volatility and Time Deformation : an Application of Trading Volume and Leverage Effects
Language: en
Pages: 35
Authors: Ghysels, Eric
Categories:
Type: BOOK - Published: 1994 - Publisher: Montréal : CIRANO

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Forecasting Volatility in the Financial Markets
Language: en
Pages: 428
Authors: Stephen Satchell
Categories: Business & Economics
Type: BOOK - Published: 2011-02-24 - Publisher: Elsevier

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Forecasting Volatility in the Financial Markets, Third Edition assumes that the reader has a firm grounding in the key principles and methods of understanding v