A Direct Test of the Mixture of Distributions Hypothesis: Measuring the Daily Flow of Information
AbstractNo abstract is available for this item.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Cambridge University Press in its journal Journal of Financial and Quantitative Analysis.
Volume (Year): 29 (1994)
Issue (Month): 01 (March)
Contact details of provider:
Postal: The Edinburgh Building, Shaftesbury Road, Cambridge CB2 2RU UK
Fax: +44 (0)1223 325150
Web page: http://journals.cambridge.org/jid_JFQProvider-Email:email@example.com
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Wu, Chunchi, 2004. "Information flow, volatility and spreads of infrequently traded Nasdaq stocks," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(1), pages 20-43, February.
- repec:lan:wpaper:3326 is not listed on IDEAS
- Jondeau, E. & Rockinger, M., 2002. "Asset Allocation in Transition Economies," Working papers 90, Banque de France.
- Elena Kalotychou & Sotiris Staikouras, 2006. "Volatility and trading activity in Short Sterling futures," Applied Economics, Taylor & Francis Journals, vol. 38(9), pages 997-1005.
- Belton Fleisher & Dongwei Su, 1998.
"Why Does Return Volatility Differ in Chinese Stock Markets?,"
98-03, Ohio State University, Department of Economics.
- Su, Dongwei & Fleisher, Belton M., 1999. "Why does return volatility differ in Chinese stock markets?," Pacific-Basin Finance Journal, Elsevier, vol. 7(5), pages 557-586, December.
- Ainhoa Zarraga, 2003. "GMM-based testing procedures of the mixture of distributions model," Applied Financial Economics, Taylor and Francis Journals, vol. 13(11), pages 841-848.
- Liesenfeld, Roman, 2001. "A generalized bivariate mixture model for stock price volatility and trading volume," Journal of Econometrics, Elsevier, vol. 104(1), pages 141-178, August.
- Rubin, Amir & Smith, Daniel R., 2011.
"Comparing different explanations of the volatility trend,"
Journal of Banking & Finance,
Elsevier, vol. 35(6), pages 1581-1597, June.
- Amir Rubin & Daniel Smith, 2010. "Comparing Different Explanations of the Volatility Trend," NCER Working Paper Series 68, National Centre for Econometric Research.
- Geman, Hélyette, 2005. "From measure changes to time changes in asset pricing," Journal of Banking & Finance, Elsevier, vol. 29(11), pages 2701-2722, November.
- Kalev, Petko S. & Liu, Wai-Man & Pham, Peter K. & Jarnecic, Elvis, 2004. "Public information arrival and volatility of intraday stock returns," Journal of Banking & Finance, Elsevier, vol. 28(6), pages 1441-1467, June.
- Marwan Izzeldin, 2007. "Trading volume and the number of trades: a comparative study using high frequency data," Working Papers 584864, Lancaster University Management School, Economics Department.
- repec:lan:wpaper:3050 is not listed on IDEAS
- Jondeau, Eric & Rockinger, Michael, 2001. "Gram-Charlier densities," Journal of Economic Dynamics and Control, Elsevier, vol. 25(10), pages 1457-1483, October.
- Goodhart, Charles A. E. & O'Hara, Maureen, 1997. "High frequency data in financial markets: Issues and applications," Journal of Empirical Finance, Elsevier, vol. 4(2-3), pages 73-114, June.
- repec:lan:wpaper:3048 is not listed on IDEAS
- Joel Hasbrouck, 1999. "Trading Fast and Slow: Security Market Events in Real Time," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-012, New York University, Leonard N. Stern School of Business-.
- Taylor, Nicholas, 2008. "Can idiosyncratic volatility help forecast stock market volatility?," International Journal of Forecasting, Elsevier, vol. 24(3), pages 462-479.
- repec:lan:wpaper:3142 is not listed on IDEAS
- Park, Beum-Jo, 2010. "Surprising information, the MDH, and the relationship between volatility and trading volume," Journal of Financial Markets, Elsevier, vol. 13(3), pages 344-366, August.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Keith Waters).
If references are entirely missing, you can add them using this form.