Surprise volume and heteroskedasticity in equity market returns
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More about this item
KeywordsARCH; trading volume; return volume dependence; asymmetric volatility; market risk premium; leverage effect;
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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