An analysis of stock market transactions data
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- Geweke, John & Meese, Richard, 1981.
"Estimating regression models of finite but unknown order,"
Journal of Econometrics,
Elsevier, vol. 16(1), pages 162-162, May.
- Geweke, John F & Meese, Richard, 1981. "Estimating Regression Models of Finite but Unknown Order," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 22(1), pages 55-70, February.
- Jennings, Robert H. & Barry, Christopher B., 1983. "Information Dissemination and Portfolio Choice," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 18(01), pages 1-19, March.
- Berndt, Ernst R & Savin, N Eugene, 1977. "Conflict among Criteria for Testing Hypotheses in the Multivariate Linear Regression Model," Econometrica, Econometric Society, vol. 45(5), pages 1263-1277, July.
- 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.
- Geweke, John, 1981. "The Approximate Slopes of Econometric Tests," Econometrica, Econometric Society, vol. 49(6), pages 1427-1442, November.
- Smirlock, Michael & Starks, Laura, 1986. "Day-of-the-week and intraday effects in stock returns," Journal of Financial Economics, Elsevier, vol. 17(1), pages 197-210, September.
- Michael Price, J., 1979. "The characterization of instantaneous causality : A correction," Journal of Econometrics, Elsevier, vol. 10(2), pages 253-256, June.
- Rogalski, Richard J, 1978. "The Dependence of Prices and Volume," The Review of Economics and Statistics, MIT Press, vol. 60(2), pages 268-274, May.
- Evans, G B A & Savin, N E, 1982. "Conflict among the Criteria Revisited: The W, LR and LM Tests," Econometrica, Econometric Society, vol. 50(3), pages 737-748, May.
- McCullough, B D, 1995. "A Spectral Analysis of Transactions Stock Market Data," The Financial Review, Eastern Finance Association, vol. 30(4), pages 823-842, November.
- Geweke, John, 1984. "Inference and causality in economic time series models," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 19, pages 1101-1144 Elsevier.
- Smirlock, Michael & Starks, Laura, 1988. "An empirical analysis of the stock price-volume relationship," Journal of Banking & Finance, Elsevier, vol. 12(1), pages 31-41, March.
- Kang, Heejoon, 1985. "The Effects of Detrending in Granger Causality Tests," Journal of Business & Economic Statistics, American Statistical Association, vol. 3(4), pages 344-349, October.
- Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-438, July.
- Harris, Lawrence, 1986. "A transaction data study of weekly and intradaily patterns in stock returns," Journal of Financial Economics, Elsevier, vol. 16(1), pages 99-117, May.
- Jain, Prem C. & Joh, Gun-Ho, 1988. "The Dependence between Hourly Prices and Trading Volume," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 23(03), pages 269-283, September.
- Dann, Larry Y. & Mayers, David & Raab, Robert Jr., 1977. "Trading rules, large blocks and the speed of price adjustment," Journal of Financial Economics, Elsevier, vol. 4(1), pages 3-22, January. Full references (including those not matched with items on IDEAS)
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