A dynamic structural model for stock return volatility and trading volume
Опубликовано на портале: 01-07-2004
Review of Economics and Statistics.
1996.
Vol. 78.
No. 1.
P. 94-122.
An examination is made of an adaptive beliefs model that is able to roughly reproduce
the following features seen in the data: 1. The autocorrelation functions of the
volatility of returns and trading volume are positive with slowly decaying tails.
2. The cross-correlation function of volatility is approximately zero for squared
returns with past and future volumes and is positive for squared returns with current
volumes. 3. Abrupt changes in prices and returns occur that are hard to attach to
"news." The last feature is obtained because the Law of Large Numbers can fail in
the large economy limit.
Ключевые слова
correlation analysis economic model return on investment security trading volume stock prices time series volatility временной ряд доходность капиталовложений корреляционный анализ курс акций торговля ценными бумагами экономическая модель
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[Интернет-ресурс]
A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for
Heteroskedasticity
Econometrica.
1980.
Vol. 48.
No. 4.
P. 817-838.
[Статья]
University of California, Economics Working Papers.
2000.
E99-270.
[Статья]