Dynamic BivarSate Mixture Models

Modeling the Behavior of Prices and Trading Volume

Bibliographic Data

ID19418588
AuthorsRoman Liesenfeld (0000-0001-6996-6215, University of Tübingen, corresponding author)
Year1998
Volume16
Issue1
Pages101-109
Publication date1998-01-01
Peer ReviewedYes
Open AccessNo
TypeARTICLE
VenueJournal of Business and Economic Statistics (JOURNAL)
Journal identifiersISSN: 0735-0015 • E-ISSN: 1537-2707
PublisherInforma UK Limited (PUBLISHER • GB)
DOI10.1080/07350015.1998.10524739
OpenAlexW2041641538
LanguageEN
Citations received5
References cited19

Bivariate mixture models have been used to explain the stochastic behavior of daily price changes and trading volume on financial markets. In this class of models, price changes and volume follow a mixture of bivariate distributions with the unobservable number of price-relevant information serving as the mixing variable. The time series behavior of this mixing variable determines the dynamics of the price-volume system. In this article, bivariate mixture specifications with a serially correlated mixing variable are estimated by simulated maximum likelihood and analyzed concerning their ability to account for the observed dynamics on financial markets, especially the persistence in the variance of price changes. The results, based on German stock-market data, reveal that the dynamic bivariate mixture models cannot account for the persistence in the price-change variance

Bivariate analysis · Econometrics · Economics · Mixture model · Statistics · Unobservable · Complex Systems and Time Series Analysis · Financial Risk and Volatility Modeling · Mathematics · Stochastic processes and financial applications

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