On the relationship between energy returns and trading volume: a multifractal analysis
Author:
Affiliation:
1. EDC Paris Business School, OCRE-Laboratory, Paris, France
2. University of Lille, France
3. ESSCA School of Management, Paris, France
4. University of Tunis, Institut Supérieur de Gestion de Tunis, LR GEF-2A, Tunis, Tunisia
Publisher
Informa UK Limited
Subject
Economics and Econometrics
Link
https://www.tandfonline.com/doi/pdf/10.1080/00036846.2018.1564122
Reference50 articles.
1. Second-order moving average and scaling of stochastic time series
2. Market conditions, trader types and price–volume relation in energy futures markets
3. Are benefits from oil–stocks diversification gone? New evidence from a dynamic copula and high frequency data
4. Market Statistics and Technical Analysis: The Role of Volume
5. Evidence of long range dependence in Asian equity markets: the role of liquidity and market restrictions
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