Time reversibility tests of volume-volatility dynamics for stock returns
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- Tauchen, George & Zhang, Harold & Liu, Ming, 1996.
"Volume, volatility, and leverage: A dynamic analysis,"
Journal of Econometrics,
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- Tauchen, George E. & Harold Zhang & Ming Liu, 1995. "Volume, Volatility and Leverage: A Dynamic Analysis," Working Papers 95-02, Duke University, Department of Economics.
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- Melvin J. Hinich & Philip Rothman, "undated". "A Frequency Domain Test of Time Reversibility," Working Papers 9706, East Carolina University, Department of Economics.
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- de Lima, Pedro J. F., 1997. "On the robustness of nonlinearity tests to moment condition failure," Journal of Econometrics, Elsevier, vol. 76(1-2), pages 251-280.
- Jansen, Dennis W & de Vries, Casper G, 1991. "On the Frequency of Large Stock Returns: Putting Booms and Busts into Perspective," The Review of Economics and Statistics, MIT Press, vol. 73(1), pages 18-24, February.
- Dennis W. Jansen & Casper de Vries, 1988. "On the frequency of large stock returns: putting booms and busts into perspective," Working Papers 1989-006, Federal Reserve Bank of St. Louis.
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- Fong, Wai Mun & Koh, Seng Kee & Ouliaris, Sam, 1997. "Joint Variance-Ratio Tests of the Martingale Hypothesis for Exchange Rates," Journal of Business & Economic Statistics, American Statistical Association, vol. 15(1), pages 51-59, January.
- Andersen, Torben G, 1996. " Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility," Journal of Finance, American Finance Association, vol. 51(1), pages 169-204, March. Full references (including those not matched with items on IDEAS)