Endogenous Trading Volume and Momentum in Stock-Return Volatility
Bibliographic Data
| ID | 19418452 |
|---|---|
| Authors | Christopher G Lamoureux (Washington University in St. Louis), William D Lastrapes (University of Georgia) |
| Year | 1994 |
| Volume | 12 |
| Issue | 2 |
| Pages | 253-260 |
| Publication date | 1994-04-01 |
| Peer Reviewed | Yes |
| Open Access | No |
| Type | ARTICLE |
| Venue | Journal of Business and Economic Statistics (JOURNAL) |
| Journal identifiers | ISSN: 0735-0015 • E-ISSN: 1537-2707 |
| Publisher | Informa UK Limited (PUBLISHER • GB) |
| DOI | 10.1080/07350015.1994.10510012 |
| OpenAlex | W2024282289 |
| Language | EN |
| Citations received | 6 |
| References cited | 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
| Unique citing works | 6 |
|---|---|
| Citations per year | 0.19 |
| Citation span | 1995 - 2018 (24) |
| Citation velocity | historical |
| Highly cited | No |
| Citation types | Neutral: 6 |