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Dynamics between trading volume, volatility and open interest in agricultural futures markets: A Bayesian time-varying coefficient approach
16 references·0 citing·36 second hopsampled
Dynamics between trading volume, volatility and open interest in agricultural futures markets: A Bayesian time-varying coefficient approach (2019)Dynamics between trading volume, volatili…A Note On Rising Food Prices (2008)A Note On Rising Food PricesTime Varying Structural Vector Autoregressions and Monetary Policy (2005)Time Varying Structural Vecto…Drifts and volatilities: monetary policies and outcomes in the post WWII US (2005)Drifts and volatilities: mone…Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)Stochastic Volatility: Likeli…Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility (1996)Return Volatility and Trading…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…A long memory property of stock market returns and a new model (1993)A long memory property of sto…Trading Volume and Price Reactions to Public Announcements (1991)Trading Volume and Price Reac…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…A Theory of Intraday Patterns: Volume and Price Variability (1988)A Theory of Intraday Patterns…Commodity Futures Prices: Some Evidence on Forecast Power, Premiums, and the Theory of Storage (1987)Commodity Futures Prices: Som…The Price Variability-Volume Relationship on Speculative Markets (1983)The Price Variability-Volume …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…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Modeling and Forecasting Realized Volatility (2003)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Introductory Econometrics for Finance (2008)A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)Stochastic Simulation (1987)The Pricing of Options on Assets with Stochastic Volatilities (1987)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Measuring Uncertainty (2015)On the Impossibility of Informationally Efficient Markets (1980)On the Impossibility of Informationally Efficient Markets (1980)The Relation Between Price Changes and Trading Volume: A Survey (1987)Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Forecasting Volatility in Financial Markets: A Review (2003)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)The variation of certain speculative prices (1997)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)Measuring the Information Content of Stock Trades (1991)Investor Psychology and Security Market Under‐ and Overreactions (1998)Econometric policy evaluation: A critique (1976)Rules Rather than Discretion: The Inconsistency of Optimal Plans (1977)Discretion versus policy rules in practice (1993)Estimation and Inference of Impulse Responses by Local Projections (2005)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)INTEREST AND PRICES: FOUNDATIONS OF A THEORY OF MONETARY POLICY (2005)Were There Regime Switches in U.S. Monetary Policy? (2006)Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)The Cross‐Section of Volatility and Expected Returns (2006)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 1993Measuring and Testing the Impact of News on Volatility3,692 cited
  • 1993A long memory property of stock market returns and a new model3,257 cited
  • 1988A Theory of Intraday Patterns: Volume and Price Variability3,120 cited
  • 2005Time Varying Structural Vector Autoregressions and Monetary Policy3,044 cited
  • 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices2,781 cited
  • 1998Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models2,265 cited
  • 2005Drifts and volatilities: monetary policies and outcomes in the post WWII US1,955 cited
  • 1983The Price Variability-Volume Relationship on Speculative Markets1,450 cited
  • 2008A Note On Rising Food Prices1,100 cited
  • 1991Trading Volume and Price Reactions to Public Announcements1,097 cited
  • 1987Commodity Futures Prices: Some Evidence on Forecast Power, Premiums, and the Theory of Storage1,047 cited
  • 1996Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility1,021 cited

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1976
The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for the Mixture-of-Distributions Hypothesis
931 cited
  • 1976A MODEL OF ASSET TRADING UNDER THE ASSUMPTION OF SEQUENTIAL INFORMATION ARRIVAL*797 cited
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