The authors derive a speculative trading model with endogenous informed trading that yields a conditionally heteroskedastic time series for trading volume and the squared price changes. They use half-hourly price change and volume data for IBM during 1988 to test the model and estimate the structural parameters using the simulated method of moments estimation procedure. While the model seems to do a reasonable job fitting the unconditional moments of the volume and the squared priced change processes, it fares less well in fitting the relation between current trading volume and lags of trading volume; and squared volume's (and its lag) relation to squared price changes.
Download Info
To our knowledge, this item is not available for
download. To find whether it is available, there are three
options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page
whether it is in fact available.
3. Perform a search for a similarly titled item that would be
available.
Volume (Year): 13 (1995) Issue (Month): 4 (October) Pages: 379-96 Download reference. The following formats are available: HTML
(with abstract),
plain text
(with abstract),
BibTeX,
RIS (EndNote, RefMan, ProCite),
ReDIF
For technical questions regarding this item, or to correct its listing, contact: (Christopher F. Baum).
Related research
Keywords:
Cited by: (explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)