Endogenous Trading Volume and Momentum in Stock-Return Volatility
Datos Bibliográficos
| ID | 19418452 |
|---|---|
| Autores | Christopher G Lamoureux (Washington University in St. Louis), William D Lastrapes (University of Georgia) |
| Año | 1994 |
| Volumen | 12 |
| Número | 2 |
| Páginas | 253-260 |
| Fecha de publicación | 1994-04-01 |
| Open Access | No |
| Tipo | ARTICLE |
| Revista | Journal of Business and Economic Statistics (JOURNAL) |
| Identificadores de la revista | ISSN: 0735-0015 • E-ISSN: 1537-2707 |
| Editorial | Informa UK Limited (PUBLISHER • GB) |
| DOI | 10.1080/07350015.1994.10510012 |
| OpenAlex | W2024282289 |
| Idioma | EN |
| Citas recibidas | 6 |
| Referencias citadas | 7 |
This article examines the ability of volume data to shed light on the source of persistence in stock-return volatility. A mixture model, in which a latent common factor restricts the joint density of volume and returns, is used to relax the assumption of exogenous volume used in previous studies. We use a point-in-time signal-extraction procedure to identify this latent process and a calibrated simulation to conduct analysis of the viability of the model to explain important properties of the data. Using daily returns and volume on individual stocks, our procedure cannot accommodate serial dependence in squared returns
Econometrics · Economics · Financial economics · Geography · Latent variable · Statistics · Complex Systems and Time Series Analysis · Financial Risk and Volatility Modeling · Market Dynamics and Volatility · Mathematics
| Citas por año | 0,19 |
|---|---|
| Intervalo de citas | 1995 - 2018 (24) |
| Altamente citado | No |