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Trading Volume, Volatility, And Garch Effects In The South Korean Won/Us Dollar Exchange Market: Evidence From Conditional Quantile Estimation




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  • Beum-Jo Park, 2007. "Trading Volume, Volatility, And Garch Effects In The South Korean Won/Us Dollar Exchange Market: Evidence From Conditional Quantile Estimation," The Japanese Economic Review, Japanese Economic Association, vol. 58(3), pages 382-399.
  • Handle: RePEc:bla:jecrev:v:58:y:2007:i:3:p:382-399

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    References listed on IDEAS

    1. Tauchen, George & Zhang, Harold & Liu, Ming, 1996. "Volume, volatility, and leverage: A dynamic analysis," Journal of Econometrics, Elsevier, vol. 74(1), pages 177-208, September.
    2. Gabriele Galati, 2000. "Trading volumes, volatility and spreads in foreign exchange markets: evidence from emerging market countries," BIS Working Papers 93, Bank for International Settlements.
    3. Gallant, A. Ronald & Hsieh, David & Tauchen, George, 1997. "Estimation of stochastic volatility models with diagnostics," Journal of Econometrics, Elsevier, vol. 81(1), pages 159-192, November.
    4. Tauchen, George E & Pitts, Mark, 1983. "The Price Variability-Volume Relationship on Speculative Markets," Econometrica, Econometric Society, vol. 51(2), pages 485-505, March.
    5. Bessembinder, Hendrik & Seguin, Paul J., 1993. "Price Volatility, Trading Volume, and Market Depth: Evidence from Futures Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 28(01), pages 21-39, March.
    6. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    7. Beum-Jo Park, 2002. "Asymmetric Volatility of Exchange Rate Returns Under The EMS: Some Evidence From Quantile Regression Approach for Tgarch Models," International Economic Journal, Taylor & Francis Journals, vol. 16(1), pages 105-125.
    8. Park, Beum-Jo, 2002. "An Outlier Robust GARCH Model and Forecasting Volatility of Exchange Rate Returns," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 21(5), pages 381-393, August.
    9. Karpoff, Jonathan M., 1987. "The Relation between Price Changes and Trading Volume: A Survey," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(01), pages 109-126, March.
    10. Robert F. Engle & Simone Manganelli, 2004. "CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles," Journal of Business & Economic Statistics, American Statistical Association, vol. 22, pages 367-381, October.
    11. Vanitha Ragunathan & Albert Peker, 1997. "Price variability, trading volume and market depth: evidence from the Australian futures market," Applied Financial Economics, Taylor & Francis Journals, vol. 7(5), pages 447-454.
    12. Clark, Peter K, 1973. "A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices," Econometrica, Econometric Society, vol. 41(1), pages 135-155, January.
    13. Koenker, Roger & Zhao, Quanshui, 1996. "Conditional Quantile Estimation and Inference for Arch Models," Econometric Theory, Cambridge University Press, vol. 12(05), pages 793-813, December.
    14. Nelson, Daniel B & Foster, Dean P, 1994. "Asymptotic Filtering Theory for Univariate ARCH Models," Econometrica, Econometric Society, vol. 62(1), pages 1-41, January.
    15. Bekaert, Geert & Wu, Guojun, 2000. "Asymmetric Volatility and Risk in Equity Markets," Review of Financial Studies, Society for Financial Studies, vol. 13(1), pages 1-42.
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    Cited by:

    1. Beum-Jo Park, 2011. "Forecasting Volatility in Financial Markets Using a Bivariate Stochastic Volatility Model with Surprising Information," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 37-58, September.
    2. Park, Beum-Jo, 2014. "Time-varying, heterogeneous risk aversion and dynamics of asset prices among boundedly rational agents," Journal of Banking & Finance, Elsevier, vol. 43(C), pages 150-159.
    3. 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.
    4. Park, Beum-Jo, 2011. "Asymmetric herding as a source of asymmetric return volatility," Journal of Banking & Finance, Elsevier, vol. 35(10), pages 2657-2665, October.

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