Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility-Reference-Cited by-同舟云学术

Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility

Published:1996-03 Issue:1 Volume:51 Page:169-204
ISSN:0022-1082
Container-title:The Journal of Finance
language:en
Short-container-title:The Journal of Finance

Author:

ANDERSEN TORBEN G.

Publisher

Wiley

Subject

Economics and Econometrics,Finance,Accounting

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1111/j.1540-6261.1996.tb05206.x/fullpdf

Reference46 articles.

1. Andersen , Torben G. 1992a Return volatility and trading volume in financial markets: An information flow interpretation of stochastic volatility, Unpublished Ph.D. Dissertation, Yale University

2. Andersen , Torben G. 1992b Volatility, Working Paper, Northwestern University

3. Stochastic autoregressive volatility: A framework for volatility modeling;Andersen;Mathematical Finance,1994

4. Andersen , Torben G. Tim Bollerslev 1994 Intraday seasonality and volatility persistence in financial markets, Working Paper, Northwestern University

5. Andersen , Torben G. Bent E. Sørensen 1994 GMM and QML asymptotic standard deviations in stochastic volatility models: A response to Ruiz (1994) Journal of Econometrics

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