Skip to main content
Duke University Libraries
DukeSpace Scholarship by Duke Authors
  • Login
  • Ask
  • Menu
  • Login
  • Ask a Librarian
  • Search & Find
  • Using the Library
  • Research Support
  • Course Support
  • Libraries
  • About
View Item 
  •   DukeSpace
  • Duke Scholarly Works
  • Scholarly Articles
  • View Item
  •   DukeSpace
  • Duke Scholarly Works
  • Scholarly Articles
  • View Item
JavaScript is disabled for your browser. Some features of this site may not work without it.

Equity trading volume and volatility: Latent information arrivals and common long-run dependencies

Thumbnail
View / Download
406.4 Kb
Date
1999-01-01
Authors
Bollerslev, T
Jubinski, D
Repository Usage Stats
302
views
681
downloads
Abstract
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 processes best describe the long-run temporal dependencies in both series. Consistent with a stylized mixture-of-distributions hypothesis model in which the aggregate “news”-arrival process possesses long-memory characteristics, the long-run hyperbolic decay rates appear to be common across each volume-volatility pair. © 1999 Taylor & Francis Group, LLC.
Type
Journal article
Permalink
https://hdl.handle.net/10161/1879
Published Version (Please cite this version)
10.1080/07350015.1999.10524793
Publication Info
Bollerslev, T; & Jubinski, D (1999). Equity trading volume and volatility: Latent information arrivals and common long-run dependencies. Journal of Business and Economic Statistics, 17(1). pp. 9-21. 10.1080/07350015.1999.10524793. Retrieved from https://hdl.handle.net/10161/1879.
This is constructed from limited available data and may be imprecise. To cite this article, please review & use the official citation provided by the journal.
Collections
  • Scholarly Articles
More Info
Show full item record

Scholars@Duke

Bollerslev

Tim Bollerslev

Juanita and Clifton Kreps Distinguished Professor of Economics, in Trinity College of Arts and Sciences
Professor Bollerslev conducts research in the areas of time-series econometrics, financial econometrics, and empirical asset pricing finance. He is particularly well known for his developments of econometric models and procedures for analyzing and forecasting financial market volatility. Much of Bollerslev’s recent research has focused on the analysis of newly available high-frequency intraday, or tick-by-tick, financial data and so-called realized volatility measures, macroeconomic news annou
Open Access

Articles written by Duke faculty are made available through the campus open access policy. For more information see: Duke Open Access Policy

Rights for Collection: Scholarly Articles


Works are deposited here by their authors, and represent their research and opinions, not that of Duke University. Some materials and descriptions may include offensive content. More info

Make Your Work Available Here

How to Deposit

Browse

All of DukeSpaceCommunities & CollectionsAuthorsTitlesTypesBy Issue DateDepartmentsAffiliations of Duke Author(s)SubjectsBy Submit DateThis CollectionAuthorsTitlesTypesBy Issue DateDepartmentsAffiliations of Duke Author(s)SubjectsBy Submit Date

My Account

LoginRegister

Statistics

View Usage Statistics
Duke University Libraries

Contact Us

411 Chapel Drive
Durham, NC 27708
(919) 660-5870
Perkins Library Service Desk

Digital Repositories at Duke

  • Report a problem with the repositories
  • About digital repositories at Duke
  • Accessibility Policy
  • Deaccession and DMCA Takedown Policy

TwitterFacebookYouTubeFlickrInstagramBlogs

Sign Up for Our Newsletter
  • Re-use & Attribution / Privacy
  • Harmful Language Statement
  • Support the Libraries
Duke University