Responses to market information and the impact on price volatility and trading volume: the case of Class III milk futures
Author:
Publisher
Springer Science and Business Media LLC
Subject
Economics and Econometrics,Social Sciences (miscellaneous),Mathematics (miscellaneous),Statistics and Probability
Link
http://link.springer.com/content/pdf/10.1007/s00181-015-0933-z.pdf
Reference24 articles.
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3. Admati AR, Pfleiderer P (1988) A theory of intraday patterns: volume and price variability. Rev Financ Stud 1:3–40
4. Andersen T (1996) Return volatility and trading volume: an information flow interpretation of stochastic volatility. J Financ 51:169–204
5. Chavas JP, Kim K (2004) A heteroskedastic multivariate Tobit analysis of price dynamics in the presence of price floors. Am J Agric Econ 86:576–593
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