Do trading volumes explain the persistence of GARCH effects?
Author:
Affiliation:
1. a School of Business Studies, Trinity College , Dublin 2 , Ireland
2. b Faculty of Business and Economics , Monash University , Caulfield East, Melbourne , VIC 3145 , Australia
Publisher
Informa UK Limited
Subject
Economics and Econometrics,Finance
Link
https://www.tandfonline.com/doi/pdf/10.1080/09603107.2012.692871
Reference49 articles.
1. Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility
2. Does trading volume really explain stock returns volatility?
3. Multivariate GARCH models: a survey
4. Bayesian Clustering of Many Garch Models
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