Brüggemann, Ralf; Glaser, Markus; Schaarschmidt, Stefan; … - Fachbereich Wirtschaftswissenschaften, Universität Konstanz - 2014
We investigate non-linearities in the stock return - trading volume relationship by using daily data for 16 European countries in an asymmetric vector autoregressive model. In this framework, we test for asymmetries and analyze the dynamic relationship using a simulation based procedure for...