Gerlach, Richard; Chen, Cathy W.S.; Lin, Doris S.Y.; … - In: Physica A: Statistical Mechanics and its Applications 360 (2006) 2, pp. 422-444
The major goal of this paper is to examine the hypothesis that stock returns and return volatility are asymmetric, threshold nonlinear, functions of change in trading volume. A minor goal is to examine whether return spillover effects also display such asymmetry. Employing a double-threshold...
