Volume, volatility, and leverage: A dynamic analysis
AbstractThis 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 multistep 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 lienar models. In this paper, we refine the technique and apply it to a long panel of daily observations on the price and trading volume of four stocks actively traded on the NYSE: Boeing, Coca Cola, IBM, and MMM.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Econometrics.
Volume (Year): 74 (1996)
Issue (Month): 1 (September)
Contact details of provider:
Web page: http://www.elsevier.com/locate/jeconom
Other versions of this item:
- Tauchen, George E. & Harold Zhang & Ming Liu, 1995. "Volume, Volatility and Leverage: A Dynamic Analysis," Working Papers 95-02, Duke University, Department of Economics.
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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