Add to ORKGAbstract During the last decades a wide literature has focused on the relationship volumevolatility on financial markets. This paper investigates the temporal dynamics of volatility and volumes, supposing, as i
Long memory in volatility is a stylized fact found in most financial return series. This paper empir...
It is widely believed that fluctuations in transaction volume, as reflected in the number of transac...
Understanding, quantifying and predicting market fluctuation has become increasingly important in re...
During the last decades a wide literature has focused on the relationship volume-volatility on finan...
We investigate the relationship between volatility, measured by realized volatility, and trading vol...
This paper investigates long-run dependencies of volatility and volume, supposing that are driven by...
Assuming that the variance of daily price changes and trading volume are both driven by the same lat...
Assuming that the variance of daily price changes and trading volume are both driven by the same lat...
The main goal of this paper is an examination of the interdependence stuctures of stock returns, vol...
We find that trading volume not only contributes positively to the contemporaneous volatility, as in...
This article examines consistent estimation of the long-memory parameters of stock-market trading vo...
This paper assesses the sources of volatility persistence in Euro Area money market interest rates a...
In this paper we provide a microeconomic model to investigate the long term memory of financial time...
We explore the role of trade volume, trade direction, and the duration between trades in explaining ...
The properties of the time series of durations between consecutive trades of a particular stock have...
Long memory in volatility is a stylized fact found in most financial return series. This paper empir...
It is widely believed that fluctuations in transaction volume, as reflected in the number of transac...
Understanding, quantifying and predicting market fluctuation has become increasingly important in re...
During the last decades a wide literature has focused on the relationship volume-volatility on finan...
We investigate the relationship between volatility, measured by realized volatility, and trading vol...
This paper investigates long-run dependencies of volatility and volume, supposing that are driven by...
Assuming that the variance of daily price changes and trading volume are both driven by the same lat...
Assuming that the variance of daily price changes and trading volume are both driven by the same lat...
The main goal of this paper is an examination of the interdependence stuctures of stock returns, vol...
We find that trading volume not only contributes positively to the contemporaneous volatility, as in...
This article examines consistent estimation of the long-memory parameters of stock-market trading vo...
This paper assesses the sources of volatility persistence in Euro Area money market interest rates a...
In this paper we provide a microeconomic model to investigate the long term memory of financial time...
We explore the role of trade volume, trade direction, and the duration between trades in explaining ...
The properties of the time series of durations between consecutive trades of a particular stock have...
Long memory in volatility is a stylized fact found in most financial return series. This paper empir...
It is widely believed that fluctuations in transaction volume, as reflected in the number of transac...
Understanding, quantifying and predicting market fluctuation has become increasingly important in re...