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The role of trading volume in volatility forecasting · Study

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ArticleThe role of trading volume in volatility forecasting

Văn Quang Lê2010

Article2010

The role of trading volume in volatility forecasting

Văn Quang Lê · Ralf Zurbruegg

42 citations·0/0 files stored·Journal of International Financial Markets Institutions and Money

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Stock Market Forecasting Methods

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References

1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1997Postwar U.S. Business Cycles: An Empirical Investigation 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts 1993A long memory property of stock market returns and a new model 1983THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices 1989Combining forecasts: A review and annotated bibliography 2001The Distribution of Realized Exchange Rate Volatility

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2019The relationship between trading activity and stock market volatility: Does the volume threshold matter?

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2015Does VIX or volume improve GARCH volatility forecasts?article · 21 shared references 2006Forecasting volatilityarticle · 16 shared references 2005A Practical Guide to Forecasting Financial Market Volatilitybook · 11 shared references 2010Parametric and Nonparametric Volatility Measurementchapter · 10 shared references 2002Parametric and Nonparametric Volatility Measurementpreprint · 10 shared references 2019The relationship between trading activity and stock market volatility: Does the volume threshold matter?article · 10 shared references

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Year2010

Typearticle

Published2010-08-04

VenueJournal of International Financial Markets Institutions and Money

ISSN-L1042-4431

Languageen

Citations42

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.intfin.2010.07.003

openalex_workW2002432012

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