Time and Dynamic Volume-Volatility Relation

• Main Authors: WU, Chunchi, Xu, A., Chen, H.
• 格式: text
• 語言: English
• 出版: Institutional Knowledge at Singapore Management University 2006
• 主題: Finance and Financial Management; Portfolio and Security Analysis
• 在線閱讀: https://ink.library.smu.edu.sg/lkcsb_research/785
• 機構: Singapore Management University

This paper examines volume and volatility dynamics by accounting for market activity measured by the time duration between two consecutive transactions. A time-consistent vector autoregressive (VAR) model is employed to test the dynamic relationship between return volatility and trades using intrada...