search query: @author Andersen, T. / total: 4
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Author: | Andersen, T. |
Title: | Return volatility and trading volume: an information flow interpretation of stochastic volatility |
Journal: | Journal of Finance
1996 : MAR, VOL. 51:1, p. 169-204 |
Index terms: | FINANCE TRADE INFORMATION |
Language: | eng |
Abstract: | The paper develops an empirical return volatility-trading volume model from a microstructure framework in which informational asymmetries and liquidity needs motivate trade in response to information arrivals. The resulting system modifies the so-called "Mixture of Distribution Hypothesis" (MDH). The dynamic features are governed by the information flow, modeled as a stochastic volatility process, and generalize standard ARCH specifications. Specification tests support the modified MDH representation and show that it vastly outperforms the standard MDH. |
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