haku: @author Zhang, H. / yhteensä: 15
viite: 14 / 15
| Tekijä: | Tauchen, G. Zhang, H. Liu, M. |
| Otsikko: | Volume, volatility, and leverage: a dynamic analysis |
| Lehti: | Journal of Econometrics
1996 : SEP, VOL. 74:1, p. 177-208 |
| Asiasana: | DYNAMIC MODELS ECONOMETRICS ECONOMICS |
| Kieli: | eng |
| Tiivistelmä: | 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. |
SCIMA