SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Evidence of Stock Returns and Abnormal Trading Volume: A Threshold Quantile Regression Approach
16 references·1 citing·38 second hopsampled
Evidence of Stock Returns and Abnormal Trading Volume: A Threshold Quantile Regression Approach (2015)Evidence of Stock Returns and Abnormal Tr…On a threshold heteroscedastic model (2005)On a threshold heteroscedasti…The dynamic relationship between stock returns and trading volume: Domestic and cross-country evidence (2002)The dynamic relationship betw…The High‐Volume Return Premium (2001)The High‐Volume Return PremiumThe Dynamic Relation Between Stock Returns, Trading Volume, and Volatility (2001)The Dynamic Relation Between …Trading Volume and Cross‐Autocorrelations in Stock Returns (2000)Trading Volume and Cross‐Auto…Postwar U.S. Business Cycles: An Empirical Investigation (1997)Postwar U.S. Business Cycles:…Testing for Linear and Nonlinear Granger Causality in the Stock Price- Volume Relation (1994)Testing for Linear and Nonlin…Stock Prices and Volume (1992)Stock Prices and VolumeARCH modeling in finance (1992)ARCH modeling in financeHeteroskedasticity in Stock Return Data: Volume versus GARCH Effects (1990)Heteroskedasticity in Stock R…The Relation Between Price Changes and Trading Volume: A Survey (1987)The Relation Between Price Ch…Cross-Security Tests of the Mixture of Distributions Hypothesis (1986)Cross-Security Tests of the M…An Equilibrium Model of Asset Trading with Sequential Information Arrival (1981)An Equilibrium Model of Asset…The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for the Mixture-of-Distributions Hypothesis (1976)The Stochastic Dependence of …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…Can volume predict Bitcoin returns and volatility? A quantiles-based approach (2017)Can volume predict Bitcoin re…The Pricing of Options and Corporate Liabilities (1973)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Dynamic Conditional Correlation (2002)The Behavior of Stock-Market Prices (1965)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS (1978)The Price Variability-Volume Relationship on Speculative Markets (1983)The variation of certain speculative prices (1997)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)A test for independence based on the correlation dimension (1996)Market Liquidity and Trading Activity (2001)Tents, Tweets, and Events: The Interplay Between Ongoing Protests and Social Media (2015)The General Theory of Employment, Interest and Money, by John Maynard Keynes (1936)The General Theory of Employment, Interest and Money. (1936)Macroeconomics and Reality (1980)The Band Pass Filter (1999)On Adjusting the Hodrick-Prescott Filter for the Frequency of Observations (2002)Measuring Uncertainty (2015)Continuous Auctions and Insider Trading (1985)Does the Stock Market Overreact? (1985)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)The Cross‐Section of Volatility and Expected Returns (2006)All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors (2007)In Search of Attention (2011)The Information Content of Annual Earnings Announcements (1968)Illiquidity and stock returns: cross-section and time-series effects (2002)The Analysis of Economic Time-Series-Part I: Prices (1953)The Random Character of Stock Market Prices (1968)An Intertemporal Capital Asset Pricing Model (1973)Option pricing when underlying stock returns are discontinuous (1976)Empirical properties of asset returns: stylized facts and statistical issues (2001)The distribution of realized stock return volatility (2001)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1997Postwar U.S. Business Cycles: An Empirical Investigation7,358 cited
  • 1992ARCH modeling in finance4,343 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 Relation1,506 cited
  • 1992Stock Prices and Volume1,295 cited
  • 1990Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects1,113 cited
  • 1976The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for the Mixture-of-Distributions Hypothesis931 cited
  • 2001The High‐Volume Return Premium860 cited
  • 1976A MODEL OF ASSET TRADING UNDER THE ASSUMPTION OF SEQUENTIAL INFORMATION ARRIVAL*805 cited
  • 2000Trading Volume and Cross‐Autocorrelations in Stock Returns721 cited
  • 1981An Equilibrium Model of Asset Trading with Sequential Information Arrival427 cited
  • 2002The dynamic relationship between stock returns and trading volume: Domestic and cross-country evidence377 cited
  • 2001The Dynamic Relation Between Stock Returns, Trading Volume, and Volatility347 cited
  • 2005

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

On a threshold heteroscedastic model
296 cited
  • 1986Cross-Security Tests of the Mixture of Distributions Hypothesis276 cited
  • Cited by

    • 2017Can volume predict Bitcoin returns and volatility? A quantiles-based approach749 cited