Tail relation between return and volume in the US stock market : an analysis based on extreme value theory
François Longin, Giovanni Pagliardi
| Year of publication: |
August 2016
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| Authors: | Longin, François M. ; Pagliardi, Giovanni |
| Published in: |
Economics letters. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1765, ZDB-ID 717210-2. - Vol. 145.2016, p. 252-254
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| Subject: | Extreme value theory | Peaks-over-threshold method | Return-volume dependence | Stock market volatility | Extreme correlation | Börsenkurs | Share price | Aktienmarkt | Stock market | Ausreißer | Outliers | Risikomaß | Risk measure | Volatilität | Volatility | Korrelation | Correlation | Handelsvolumen der Börse | Trading volume | Theorie | Theory | Schätzung | Estimation | ARCH-Modell | ARCH model | Kapitaleinkommen | Capital income |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econlet.2016.06.026 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011618837