Modeling short-term post-offering price-volume relationships using Bayesian change-point panel quantile regression
Author:
Affiliation:
1. School of Management; China University of Mining and Technology; Xuzhou 221116 China
2. School of Business; Sichuan University; Chengdu 610064 China
3. School of Economics; The University of New South Wales; Sydney 2052 Australia
Funder
National Natural Science Foundation of China
Program for New Century Excellent Talents in University in China
Publisher
Wiley
Subject
Management Science and Operations Research,General Business, Management and Accounting,Modeling and Simulation
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1002/asmb.2149/fullpdf
Reference40 articles.
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3. A subordinated stochastic process model with finite variance for speculative prices;Clark;Econometrica,1973
4. The volume of transactions and price changes on the New York stock exchange;Crouch;Financial Analyst Journal,1970
5. Security price changes and transaction volumes:theory and evidence;Epps;American Economic Review,1975
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