Empirical study on relationship between persistence-free trading volume and stock return volatility
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Girardin, Eric & Joyeux, Roselyne, 2013.
"Macro fundamentals as a source of stock market volatility in China: A GARCH-MIDAS approach,"
Elsevier, vol. 34(C), pages 59-68.
- Eric Girardin & Roselyne Joyeux, 2013. "Macro fundamentals as a source of stock market volatility in China: A GARCH-MIDAS approach," Post-Print hal-01499615, HAL.
More about this item
KeywordsInformation flow Trading volume Heteroskedasticity Persistence-free trading volume Stock return;
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