Senarathne, Chamil - 2018
The Heteroskedastic Mixture Model (HMM) of Lamoureux, and Lastrapes (1990) is extended, relaxing the restriction imposed on the mean i.e. μ<sub>t-1</sub>=0 . Instead, an exogenous variable r<sub>m</sub>, along with its vector β<sub>m</sub>, that predicts return r<sub>t</sub> is introduced to examine the hypothesis that the volume is a...