Does trading volume really explain stock returns volatility?
Author:
Publisher
Elsevier BV
Subject
Economics and Econometrics,Finance
Reference20 articles.
1. Return volatility and trading volume: an information flow interpretation of stochastic volatility;Andersen;Journal of Finance,1996
2. Heterogeneous information arrivals and return volatility dynamics: uncovering the long-run in high frequency returns;Andersen;Journal of Finance,1997
3. Generalized autoregressive conditional heteroskedasticity;Bollerslev;Journal of Econometrics,1986
4. Equity trading volume and volatility: latent information arrivals and common long-run dependence;Bollerslev;Journal of Business and Economic Statistics,1999
5. A subordinated stochastic process model with finite variance for speculative prices;Clark;Econometrica,1973
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