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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.

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