Return-Volume Dependence and Extremes in International Equity Markets
Year of publication: |
2004-01-30
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Authors: | Marsh, Terry A. ; Wagner, Niklas |
Institutions: | EconWPA |
Subject: | trading volume | return-volume dependence | mixture of distributions hypothesis | extreme returns | bivariate extremal dependence | market crashes |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | Type of Document - pdf; prepared on win00; to print on laserjet |
Classification: | C13 - Estimation ; G10 - General Financial Markets. General ; G15 - International Financial Markets |
Source: |
-
Return-Volume Dependence and Extremes in International Equity Markets
Wagner, Niklas, (2003)
-
Surprise volume and heteroskedasticity in equity market returns
Wagner, Niklas, (2004)
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Surprise volume and heteroskedasticity in equity market returns
Wagner, Niklas, (2004)
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Measuring Tail Thickness under GARCH and an Application to Extreme Exchange Rate Changes
Wagner, Niklas, (2004)
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Surprise Volume and Heteroskedasticity in Equity Market Returns
Wagner, Niklas, (2004)
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Surprise volume and heteroskedasticity in equity market returns
Wagner, Niklas, (2004)
- More ...