Modeling and forecasting trading volume index: GARCH versus TGARCH approach
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- Beg, A.B.M. Rabiul Alam & Anwar, Sajid, 2012. "Sources of volatility persistence: A case study of the U.K. pound/U.S. dollar exchange rate returns," The North American Journal of Economics and Finance, Elsevier, vol. 23(2), pages 165-184.
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More about this item
KeywordsTrading volume Volatility GARCH TGARCH Leverage effect High frequency data;
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