Modeling asset market volatility in a small market:: Accounting for non-synchronous trading effects
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Volume (Year): 9 (1999)
Issue (Month): 1 (January)
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- Ferris, Stephen P. & McInish, Thomas H. & Wood, Robert A., 1997. "Automated trade execution and trading activity: The case of the Vancouver stock exchange," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 7(1), pages 61-72, April.
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- Epps, Thomas W & Epps, Mary Lee, 1976. "The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for the Mixture-of-Distributions Hypothesis," Econometrica, Econometric Society, vol. 44(2), pages 305-21, March.
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- Lamoureux, Christopher G & Lastrapes, William D, 1994. "Endogenous Trading Volume and Momentum in Stock-Return Volatility," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(2), pages 253-60, April.
- Kim, Dongcheol & Kon, Stanley J, 1994. "Alternative Models for the Conditional Heteroscedasticity of Stock Returns," The Journal of Business, University of Chicago Press, vol. 67(4), pages 563-98, October.
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