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A Dynamic Structural Model for Stock Return Volatility and Trading Volume

In: Growth Theory, Nonlinear Dynamics and Economic Modelling

Author

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  • William A. Brock
  • Blake D. LeBaron

Abstract

This outstanding collection of William Brock’s essays illustrates the power of dynamic modelling to shed light on the forces for stability and instability in economic systems. The articles selected reflect his best work and are indicative both of the type of policy problem that he finds challenging and the complex methodology that he uses to solve them. Also included is an introduction by Brock to his own work, which helps tie together the main aspects of his research to date.

Suggested Citation

  • William A. Brock & Blake D. LeBaron, 2001. "A Dynamic Structural Model for Stock Return Volatility and Trading Volume," Chapters, in: W. D. Dechert (ed.), Growth Theory, Nonlinear Dynamics and Economic Modelling, chapter 7, pages 166-198, Edward Elgar Publishing.
    • Handle: RePEc:elg:eechap:1491_7
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    Keywords

    Economics and Finance;

    Statistics

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