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| Author: | Tauchen, G. Zhang, H. Liu, M. |
| Title: | Volume, volatility, and leverage: a dynamic analysis |
| Journal: | Journal of Econometrics
1996 : SEP, VOL. 74:1, p. 177-208 |
| Index terms: | DYNAMIC MODELS ECONOMETRICS ECONOMICS |
| Language: | eng |
| Abstract: | This paper uses dynamic impulse response analysis to investigate the interrelationships among stock price volatility, trading volume, and the leverage effect. Dynamic impulse response analysis is a technique for analyzing the multi-step-ahead characteristics of a nonparametric estimate of the one-step conditional density of a strictly stationary process. The technique is the generalization to a nonlinear process of Sims-style impulse response analysis for linear models. |
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