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Does trading volume really explain stock returns volatility? · Study

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ArticleDoes trading volume really explain stock returns volatility?

Thierry Ané2006

Article2006

Does trading volume really explain stock returns volatility?

Thierry Ané · Loredana Ureche‐Rangau

50 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 Complex Systems and Time Series Analysis

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References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 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 2000Forecasting Economic Time Series 1995Gaussian Semiparametric Estimation of Long Range Dependence 1983The Price Variability-Volume Relationship on Speculative Markets

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2011Financial globalization and stock market risk 2010Commodity futures and market efficiency: A fractional integrated approach 2010Symmetric and asymmetric US sector return volatilities in presence of oil, financial and economic risks 2012Do trading volumes explain the persistence of GARCH effects?

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1999Equity Trading Volume and Volatility: Latent Information Arrivals and Common Long-Run Dependenciesarticle · 12 shared references 2005Volatility Forecastingreport · 12 shared references 2001A generalized bivariate mixture model for stock price volatility and trading volumearticle · 12 shared references 2015Does VIX or volume improve GARCH volatility forecasts?article · 12 shared references 2012Do trading volumes explain the persistence of GARCH effects?article · 12 shared references 2006VOLATILITY AND CORRELATION FORECASTINGarticle · 11 shared references

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Year2006

Typearticle

Published2006-11-08

VenueJournal of International Financial Markets Institutions and Money

ISSN-L1042-4431

Languageen

Citations50

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.intfin.2006.10.001

openalex_workW2020666693

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