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Household consumption and dispersed information
Adams, Jonathan J.; Rojas, Eugenio - In: Journal of monetary economics 147 (2024), pp. 1-17
Persistent link: https://www.econbiz.de/10015071546
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The effect of exchange rate uncertainty on the prices and volume of international trade
Hooper, Peter; Kohlhagen, Steven W. - 1976
Persistent link: https://www.econbiz.de/10000780350
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A dynamic structural model for stock return volatility and trading volume
Brock, William A.; LeBaron, Blake Dean - 1995
Persistent link: https://www.econbiz.de/10000147476
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Capturing common components in high-frequency financial time series : a multivariate stochastic multiplicative error model
Hautsch, Nikolaus (contributor) - 2007
relations and cross-dependencies between the individual variables. This confirms economic theory and suggests more parsimonious … specifications of high-dimensional trading processes. It turns out that common shocks affect the return volatility and the trading …
Persistent link: https://www.econbiz.de/10003634717
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The specification of GARCH models with stochastic covariates
Fleming, Jeff; Kirby, Chris; Ostdiek, Barbara - In: The journal of futures markets 28 (2008) 10, pp. 911-934
Persistent link: https://www.econbiz.de/10003769888
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A theory of large fluctuations in stock market activity
Gabaix, Xavier; Gopikrishnan, Parameswaran; Plerou, Vasiliki - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002116206
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Time and dynamic volume-volatility relation
Xu, Xiaoqing Eleanor; Chen, Peter; Wu, Chunchi - In: Journal of banking & finance 30 (2006) 5, pp. 1535-1558
Persistent link: https://www.econbiz.de/10003319376
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Capturing common components in high-frequency financial time series : a multivariate stochastic multiplicative error model
Hautsch, Nikolaus - In: Journal of economic dynamics & control 32 (2008) 12, pp. 3978-4015
Persistent link: https://www.econbiz.de/10003804813
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Long memory and tail dependence in trading volume and volatility
Rossi, Eduardo; Santucci de Magistris, Paolo - 2009
Persistent link: https://www.econbiz.de/10003863172
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A generative approach on the relationship between trading volume, prices, returns and volatility of financial assets
Pascual, José Antonio; Pajares Gutiérrez, Javier - In: Artificial economics : the generative method in …, (pp. 185-196). 2009
Persistent link: https://www.econbiz.de/10003889497