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Forecasting volatility and volume in the Tokyo stock market : the advantage of long memory models

Lux, Thomas (contributor); Kaizoji, Taisei (contributor) - 2004 - [Elektronische Ressource]

We investigate the predictability of both volatility and volume for a large sample of Japanese stocks. The particular … practically always improves upon the nai͏̈ve forecast provided by historical volatility. As a somewhat surprising result, we also …, volatility. …

Persistent link: https://www.econbiz.de/10002090155

Information leadership in the advanced Asia-Pacific stock markets : return, volatility and volume information spillovers from the US and Japan

Kim, Suk-Joong - In: Journal of the Japanese and international economies : … 19 (2005) 3, pp. 338-365

Persistent link: https://www.econbiz.de/10003176646

Stock returns volatility and trading volume : evidence from the Chinese stock market

Wang, Ping; Wang, Peijie; Liu, Aying - In: Journal of Chinese economic and business studies 3 (2005) 1, pp. 39-54

Persistent link: https://www.econbiz.de/10003123431

The dynamics of security trades, quote revisions, and market depths for actively traded stocks

Rahman, Shafiqur; Krishnamurti, Chandrasekhar; Lee, Alice C. - In: Review of quantitative finance and accounting 25 (2005) 2, pp. 91-124

Persistent link: https://www.econbiz.de/10003124755

The German equity market: risk, return, and liquidity

Göppl, Hermann (contributor) - In: Empirical research on the German capital market : with …, (pp. 171-185). 1999

Persistent link: https://www.econbiz.de/10001427658

An empirical investigation of trading volume and return volatility of the Taiwan Stock Market

Huang, Bwo-nung; Yang, Chin-wei - In: Global finance journal 12 (2001) 1, pp. 55-77

Persistent link: https://www.econbiz.de/10001601045

A stochastic volatility model specification with diagnostics for thinly traded equity markets

Solibakke, Per Bjarte - In: Journal of multinational financial management 11 (2001) 4/5, pp. 385-406

Persistent link: https://www.econbiz.de/10001612561

Intraday market liquidity on the Swiss stock exchange

Ranaldo, Angelo - In: Financial markets and portfolio management 15 (2001) 3, pp. 309-327

Persistent link: https://www.econbiz.de/10001715581

Stock returns volatility, and trading volume : evidence from the Chinese stock markets

Chen, Chao; Zhou, Zhong-guo - In: International journal of business 6 (2001) 2, pp. 67-86

Persistent link: https://www.econbiz.de/10001625260

Wealth, volume and stock market volatility : case of Hong Kong (1993 - 2001)

Li, Matthew C. (contributor) - 2003

Persistent link: https://www.econbiz.de/10001762033