TY - JOUR
TI - A dynamic structural model for stock return volatility and trading
volume
T2 - Review of Economics and Statistics
IS - 1
KW - correlation analysis
KW - economic model
KW - return on investment
KW - security trading volume
KW - stock prices
KW - time series
KW - volatility
KW - временной ряд
KW - доходность капиталовложений
KW - корреляционный анализ
KW - курс акций
KW - торговля ценными бумагами
KW - экономическая модель
AB - 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.
AU - Brock, William A.
AU - LeBaron, Blake
UR - http://ecsocman.hse.ru/text/17044272/
PY - 1996
SP - 94-122
M2 - 94
VL - 78
SN -
N1 -
LA - EN
CY -
PB -
M3 -
LB -
VL -
ER -