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Citations for "The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for the Mixture-of-Distributions Hypothesis"

by Epps, Thomas W & Epps, Mary Lee

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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.):
  1. David G. McMillan & Alan E. H. Speight, 2006. "Volatility dynamics and heterogeneous markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 11(2), pages 115-121. [Downloadable!]
  2. Ai-ru (Meg) Cheng & Yin-Wong Cheung, 2008. "Return, Trading Volume, and Market Depth in Currency Futures Markets," Working Papers 202008, Hong Kong Institute for Monetary Research. [Downloadable!]
  3. 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, November. [Downloadable!] (restricted)
  4. Lars Forsberg & Tim Bollerslev, 2002. "Bridging the gap between the distribution of realized (ECU) volatility and ARCH modelling (of the Euro): the GARCH-NIG model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 535-548. [Downloadable!]
  5. Wai Fong & Wing Wong, 2006. "The modified mixture of distributions model: a revisit," Annals of Finance, Springer, vol. 2(2), pages 167-178, March. [Downloadable!] (restricted)
  6. David McMillan & Alan Speight, 2005. "Long-memory and heterogeneous components in high frequency Pacific-Basin exchange rate volatility," Asia-Pacific Financial Markets, Springer, vol. 12(3), pages 199-226, September. [Downloadable!] (restricted)
  7. Taoufik Bouezmarni & Jeroen Rombouts & Abderrahim Taamouti, 2009. "A Nonparametric Copula Based Test for Conditional Independence with Applications to Granger Causality," CIRANO Working Papers 2009s-28, CIRANO. [Downloadable!]
    Other versions:
  8. Wei-Xing Zhou, 2007. "Universal price impact functions of individual trades in an order-driven market," Quantitative Finance Papers 0708.3198, arXiv.org, revised Apr 2008. [Downloadable!]
  9. Ramsey, James B. & Zhang, Zhifeng, 1995. "The Analysis of Foreign Exchange Data Using Waveform Dictionaries," Working Papers 95-03, C.V. Starr Center for Applied Economics, New York University. [Downloadable!]
  10. Cartea, Álvaro & Meyer-Brandis, Thilo, 2009. "How Duration Between Trades of Underlying Securities Affects Option Prices," MPRA Paper 16179, University Library of Munich, Germany. [Downloadable!]
  11. Sam Howison & David Lamper, 2001. "Trading volume in models of financial derivatives," Applied Mathematical Finance, Taylor and Francis Journals, vol. 8(2), pages 119-135, May. [Downloadable!] (restricted)
  12. Anthony Murphy & Marwan Izzeldin, 2005. "Order Flow, Transaction Clock, and Normality of Asset Returns: A Comment on Ané and Geman (2000)," Finance 0512005, EconWPA. [Downloadable!]
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  13. Chris Downing & Frank Zhang, 2002. "Trading activity and price volatility in the municipal bond market," Finance and Economics Discussion Series 2002-39, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  14. Serge Darolles & Christian Gourieroux & Gaëlle Le Fol, 2000. "Intraday Transaction Price Dynamics," Annales d'Economie et de Statistique, ADRES, issue 60, pages 10, Octobre-D. [Downloadable!]
  15. Emese Lazar & Carol Alexander, 2006. "Normal mixture GARCH(1,1): applications to exchange rate modelling," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(3), pages 307-336. [Downloadable!]
  16. Álvaro Cartea & Dimitrios Karyampas, 2009. "The Relationship Between the Volatility of Returns and the Number of Jumps in Financial Markets," Birkbeck Working Papers in Economics and Finance 0914, Birkbeck, Department of Economics, Mathematics & Statistics. [Downloadable!]
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  17. Andrew W. Lo & Jiang W. Wang, 2000. "Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory," NBER Working Papers 7625, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  18. Juan A. Lafuente & Manuel Illueca Muñoz, 2006. "New Evidence On Expiration-Day Effects Using Realized Volatility: An Intraday Analysis For The Spanish Stock Exchange," Working Papers. Serie EC 2006-05, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]
  19. Marwan Izzeldin, 2007. "Trading volume and the number of trades: a comparative study using high frequency data," Working Papers 004798, Lancaster University Management School, Economics Department. [Downloadable!]
  20. Gerard Gannon & Chi-Ying Chang, 2007. "Regulatory Change and Micro Structure Effects in SPI Futures," Accounting, Finance, Financial Planning and Insurance Series 2007_08, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance. [Downloadable!]
  21. Simone Manganelli, 2002. "Duration: volume and volatility impact of trades," Working Paper Series 125, European Central Bank. [Downloadable!]
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  22. Torben G. Andersen & Tim Bollerslev, 1996. "DM-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies," NBER Working Papers 5783, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  23. Gerard L. Gannon, 2009. "Dispersion of Information or Market Behaviour: General Public Trading in S&P500 Index Futures," Accounting, Finance, Financial Planning and Insurance Series 2009_01, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance. [Downloadable!]
  24. Bryant, Henry L. & Bessler, David A. & Haigh, Michael S., 2003. "Causality In Futures Markets," Working Papers 28574, University of Maryland, Department of Agricultural and Resource Economics. [Downloadable!]
  25. Ainhoa Zarraga Alonso, 1998. "Análisis de causalidad entre rendimiento y volumen," Investigaciones Economicas, Fundación SEPI, vol. 22(1), pages 45-67, January. [Downloadable!]
  26. Chia-Chang Chuang & Chung-Ming Kuan & Hsin-yi Lin, 2007. "Causality in Quantiles and Dynamic Stock Return-Volume Relations," IEAS Working Paper : academic research 07-A006, Institute of Economics, Academia Sinica, Taipei, Taiwan. [Downloadable!]
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This page was last updated on 2010-1-3.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.