Long memory and tail dependence in trading volume and volatility
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DOI: 10.1016/j.jempfin.2013.03.004
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- Eduardo Rossi & Paolo Santucci de Magistris, 2009. "Long Memory and Tail dependence in Trading Volume and Volatility," CREATES Research Papers 2009-30, Department of Economics and Business Economics, Aarhus University.
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More about this item
Keywords
Realized volatility; Trading volume; FIVAR; Tail dependence; Copula modeling;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
Statistics
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