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Testing the mixture‐of‐distributions hypothesis using “realized” volatility

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  • James C. Luu
  • Martin Martens

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  • James C. Luu & Martin Martens, 2003. "Testing the mixture‐of‐distributions hypothesis using “realized” volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 23(7), pages 661-679, July.
    • Handle: RePEc:wly:jfutmk:v:23:y:2003:i:7:p:661-679
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    Cited by:

    1. Yao, Wei & Alexiou, Constantinos, 2022. "Exploring the transmission mechanism of speculative and inventory arbitrage activity to commodity price volatility. Novel evidence for the US economy," International Review of Financial Analysis, Elsevier, vol. 80(C).
    2. Adeyinka Adediran & Bola Babajide & Nataliia Osina, 2023. "Exploring the nexus between price and volume changes in the cryptocurrency market," Journal of Asset Management, Palgrave Macmillan, vol. 24(6), pages 498-512, October.
    3. Giorgio Canarella & Stephen M Miller, 2017. "Inflation Persistence Before and After Inflation Targeting: A Fractional Integration Approach," Eastern Economic Journal, Palgrave Macmillan;Eastern Economic Association, vol. 43(1), pages 78-103, January.
    4. Wen-Cheng Lu & Fang-Jun Lin, 2010. "An Empirical Study Of Volatility And Trading Volume Dynamics Using High-Frequency Data," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 4(3), pages 93-101.
    5. Bertelsen, Kristoffer Pons & Borup, Daniel & Jakobsen, Johan Stax, 2021. "Stock market volatility and public information flow: A non-linear perspective," Economics Letters, Elsevier, vol. 204(C).
    6. Jena, Sangram Keshari & Tiwari, Aviral Kumar & Roubaud, David & Shahbaz, Muhammad, 2018. "Index futures volatility and trading activity: Measuring causality at a multiple horizon," Finance Research Letters, Elsevier, vol. 24(C), pages 247-255.
    7. Marina Balboa & Paulo M. M. Rodrigues & Antonio Rubia & A. M. Robert Taylor, 2021. "Multivariate fractional integration tests allowing for conditional heteroskedasticity with an application to return volatility and trading volume," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(5), pages 544-565, August.
    8. Chien-Hung Chen & Nicholas Lee & Fu-Min Chang & Li-Peng Lan, 2021. "Are global gold futures returns volatilities and trading activities threshold cointegrated?," Journal of Financial Economic Policy, Emerald Group Publishing Limited, vol. 13(5), pages 525-538, May.
    9. Sensoy, Ahmet & Serdengeçti, Süleyman, 2019. "Intraday volume-volatility nexus in the FX markets: Evidence from an emerging market," International Review of Financial Analysis, Elsevier, vol. 64(C), pages 1-12.
    10. Adam E. Clements & Neda Todorova, 2016. "Information Flow, Trading Activity and Commodity Futures Volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 36(1), pages 88-104, January.
    11. Cheuathonghua, Massaporn & Padungsaksawasdi, Chaiyuth, 2024. "The volume-implied volatility relation in financial markets: A behavioral explanation," The North American Journal of Economics and Finance, Elsevier, vol. 71(C).
    12. Yao, Wei, 2025. "The US Quantitative Easing Monetary Policy and Commodities’ Prices," Other publications TiSEM 185d14d3-9dc2-4276-82ec-e, Tilburg University, School of Economics and Management.
    13. Torben G. Andersen & Tim Bollerslev & Per Frederiksen & Morten Ørregaard Nielsen, 2010. "Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(2), pages 233-261.
    14. Sun, Changyou, 2013. "Price variation and volume dynamics of securitized timberlands," Forest Policy and Economics, Elsevier, vol. 27(C), pages 44-53.
    15. Henryk Gurgul & Lukaz Lach & Tomasz Wojtowicz, 2016. "Impact of US Macroeconomic News Announcements on Intraday Causalities on Selected European Stock Markets," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 66(5), pages 405-425, October.
    16. Giorgio Canarella & Stephen M. Miller, 2016. "Inflation Persistence and Structural Breaks: The Experience of Inflation Targeting Countries and the US," Working papers 2016-11, University of Connecticut, Department of Economics.
    17. repec:tsa:wpaper:0084mss is not listed on IDEAS
    18. Shahzad, Hassan & Duong, Huu Nhan & Kalev, Petko S. & Singh, Harminder, 2014. "Trading volume, realized volatility and jumps in the Australian stock market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 31(C), pages 414-430.
    19. Yamani, Ehab, 2023. "Return–volume nexus in financial markets: A survey of research," Research in International Business and Finance, Elsevier, vol. 65(C).
    20. Carroll, Rachael & Kearney, Colm, 2015. "Testing the mixture of distributions hypothesis on target stocks," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 39(C), pages 1-14.

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