Dynamic Relationship among Intraday Realized Volatility, Volume and Number of Trades
| Year of publication: |
2011
|
|---|---|
| Authors: | Hatrick, Kerr ; So, Mike ; Chung, S. ; Deng, R. |
| Published in: |
Asia-Pacific Financial Markets. - Springer, ISSN 1387-2834. - Vol. 18.2011, 3, p. 291-317
|
| Publisher: |
Springer |
| Subject: | High frequency data | Impulse response function | Realized volatility | Trading volume | Vector autoregressive model |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10009327797