Equity Trading Volume and Volatility: Latent Information Arrivals and Common Long-Run Dependencies
Author:
Publisher
Informa UK Limited
Subject
Statistics, Probability and Uncertainty,Economics and Econometrics,Social Sciences (miscellaneous),Statistics and Probability
Link
http://www.tandfonline.com/doi/pdf/10.1080/10256018808623883
Reference40 articles.
1. Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility
2. Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns
3. Intraday periodicity and volatility persistence in financial markets
4. Fractionally integrated generalized autoregressive conditional heteroskedasticity
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