@ARTICLE{17044272_1996,
author = {Brock, William A. and LeBaron, Blake},
keywords = {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},
title = {A dynamic structural model for stock return volatility and trading
volume },
journal = {Review of Economics and Statistics},
year = {1996},
month = {},
volume = {78},
number = {1},
pages = {94-122},
url = {http://ecsocman.hse.ru/text/17044272/},
publisher = {},
language = {ru},
abstract = {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. },
annote = {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. }
}