Time And Dynamic Volume Volatility Relation
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Language: en
Pages:
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Type: BOOK - Published: 2011 - Publisher:
This paper examines volume and volatility dynamics by accounting for market activity measured by the time duration between two consecutive transactions. A time-
Language: en
Pages: 39
Pages: 39
Type: BOOK - Published: 2005 - Publisher:
We find that trading volume not only contributes positively to the contemporaneous volatility, as indicated in previous literature, but also contributes negativ
Language: en
Pages: 702
Pages: 702
Type: BOOK - Published: 2003 - Publisher:
Language: en
Pages: 136
Pages: 136
Type: BOOK - Published: 2012-12-06 - Publisher: Springer Science & Business Media
This manuscript is about the joint dynamics of stock returns and trading volume. It grew out of my attempt to construct an intertemporal asset pricing model wit
Language: en
Pages: 36
Pages: 36
Type: BOOK - Published: 2007 - Publisher:
In this paper we study the dynamic relationship between trading volume, volatility, and stock returns at the international stock markets. First, we examine the