Stochastic volatility, trading volume, and the daily flow of information
Year of publication: |
2006
|
---|---|
Authors: | Fleming, Jeff ; Kirby, Chris ; Ostdiek, Barbara |
Published in: |
The journal of business : B. - Chicago, Ill. : Univ. of Chicago Press, ISSN 0021-9398, ZDB-ID 241617-7. - Vol. 79.2006, 3, p. 1551-1590
|
Subject: | Volatilität | Volatility | Handelsvolumen der Börse | Trading volume | Informationsverhalten | Information behaviour | ARCH-Modell | ARCH model | USA | United States |
-
Time varying spillovers between the online search volume and stock returns : case of CESEE markets
Škrinjarić, Tihana, (2019)
-
Li, Jinliang, (2006)
-
Inventory announcements, jump dynamics, volatility and trading volume in U.S. energy futures markets
Bjursell, Johan, (2015)
- More ...
-
The specification of GARCH models with stochastic covariates
Fleming, Jeff, (2008)
-
Stochastic Volatility, Trading Volume, and the Daily Flow of Information
Fleming, Jeff, (2006)
-
The economic value of volatility timing using "realized" volatility
Fleming, Jeff, (2003)
- More ...