Dynamic Relationship among Intraday Realized Volatility, Volume and Number of Trades
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Bibliographic InfoArticle provided by Springer in its journal Asia-Pacific Financial Markets.
Volume (Year): 18 (2011)
Issue (Month): 3 (September)
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Web page: http://springerlink.metapress.com/link.asp?id=102851
High frequency data; Impulse response function; Realized volatility; Trading volume; Vector autoregressive model;
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