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Information Flow between Price Change and Trading Volume in Gold Futures Contracts
16 references·1 citing·44 second hop
Information Flow between Price Change and Trading Volume in Gold Futures Contracts (2004)Information Flow between Price Change and…The price–volume relationship in the crude oil futures market Some results based on linear and nonlinear causality testing (2000)The price–volume relationship…Linear and nonlinear Granger causality: Evidence from the U.K. stock index futures market (1998)Linear and nonlinear Granger …An examination of linear and nonlinear causal relationships between price variability and volume in petroleum futures markets (1997)An examination of linear and …Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility (1996)Return Volatility and Trading…Testing for Linear and Nonlinear Granger Causality in the Stock Price- Volume Relation (1994)Testing for Linear and Nonlin…Testing for a Unit Root (1993)Testing for a Unit RootStock Prices and Volume (1992)Stock Prices and VolumeQuasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Quasi-maximum likelihood esti…Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy (1989)Information and Volatility: T…Testing for a Unit Root in Time Series Regression (1988)Testing for a Unit Root in Ti…Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market (1988)Meteor Showers or Heat Waves?…The Relation Between Price Changes and Trading Volume: A Survey (1987)The Relation Between Price Ch…The Price Variability-Volume Relationship on Speculative Markets (1983)The Price Variability-Volume …An Equilibrium Model of Asset Trading with Sequential Information Arrival (1981)An Equilibrium Model of Asset…A MODEL OF ASSET TRADING UNDER THE ASSUMPTION OF SEQUENTIAL INFORMATION ARRIVAL* (1976)A MODEL OF ASSET TRADING UNDE…A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)A Subordinated Stochastic Pro…Trading volume and return relationship in the crude oil futures markets (2014)Trading volume and return rel…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Statistical aspects of ARCH and stochastic volatility (1996)The Economic Value of Volatility Timing (2001)Macroeconomic Factors Do Influence Aggregate Stock Returns (2002)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Market Liquidity and Trading Activity (2001)A new statistic and practical guidelines for nonparametric Granger causality testing (2006)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Trends and random walks in macroeconmic time series (1982)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Unit root tests in panel data: asymptotic and finite-sample properties (2002)A simple panel unit root test in the presence of cross‐section dependence (2007)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility (1994)Transactions, Volume, and Volatility (1994)Theory of rational option pricing (2005)On the Impossibility of Informationally Efficient Markets (1980)On the Impossibility of Informationally Efficient Markets (1980)Trading Volume and Serial Correlation in Stock Returns (1993)Bayesian Analysis of Stochastic Volatility Models (2002)Forecasting Volatility in Financial Markets: A Review (2003)The Behavior of Stock-Market Prices (1965)The Information Content of Annual Earnings Announcements (1968)Differences of Opinion Make a Horse Race (1993)Market liquidity and volume around earnings announcements (1994)Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)The Analysis of Economic Time-Series-Part I: Prices (1953)An Intertemporal Capital Asset Pricing Model (1973)Option pricing when underlying stock returns are discontinuous (1976)The variation of certain speculative prices (1997)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Statistical analysis of cointegration vectors (1988)The relationship between energy consumption, energy prices and economic growth: time series evidence from Asian developing countries (2000)Tourism as a Long-Run Economic Growth Factor: An Empirical Investigation for Greece Using Causality Analysis (2004)EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES?* (2009)ARCH modeling in finance (1992)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Risks and Portfolio Decisions Involving Hedge Funds (2003)Market liquidity as a sentiment indicator (2004)
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References

  • 1988Testing for a Unit Root in Time Series Regression19,288 cited
  • 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 cited
  • 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices2,781 cited
  • 1987The Relation Between Price Changes and Trading Volume: A Survey2,380 cited
  • 1994Testing for Linear and Nonlinear Granger Causality in the Stock Price- Volume Relation1,495 cited
  • 1983The Price Variability-Volume Relationship on Speculative Markets1,450 cited
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  • 1989Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy1,047 cited
  • 1996Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility1,021 cited
  • 1993Testing for a Unit Root872 cited
  • 1988Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market786 cited
  • 1976A MODEL OF ASSET TRADING UNDER THE ASSUMPTION OF SEQUENTIAL INFORMATION ARRIVAL*608 cited
  • 1981An Equilibrium Model of Asset Trading with Sequential Information Arrival427 cited
  • 1998Linear and nonlinear Granger causality: Evidence from the U.K. stock index futures market104 cited

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  • 1997An examination of linear and nonlinear causal relationships between price variability and volume in petroleum futures markets80 cited
  • 2000The price–volume relationship in the crude oil futures market Some results based on linear and nonlinear causality testing75 cited
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    • 2014Trading volume and return relationship in the crude oil futures markets21 cited