Browsing by Author "Jubinski, D"
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Equity trading volume and volatility: Latent information arrivals and common long-run dependencies
Bollerslev, T; Jubinski, D (Journal of Business and Economic Statistics, 1999-01-01)This article examines the behavior of equity trading volume and volatility for the individual firms composing the Standard and Poor's 100 composite index. Using multivariate spectral methods, we find that fractionally integrated ...