Show simple item record

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

dc.contributor.author Bollerslev, T
dc.contributor.author Jubinski, D
dc.date.accessioned 2010-03-09T15:27:56Z
dc.date.issued 1999-01-01
dc.identifier.issn 0735-0015
dc.identifier.uri https://hdl.handle.net/10161/1879
dc.description.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.
dc.format.mimetype application/pdf
dc.language.iso en_US
dc.publisher Informa UK Limited
dc.relation.ispartof Journal of Business and Economic Statistics
dc.relation.isversionof 10.1080/07350015.1999.10524793
dc.title Equity trading volume and volatility: Latent information arrivals and common long-run dependencies
dc.type Journal article
duke.contributor.id Bollerslev, T|0217510
pubs.begin-page 9
pubs.end-page 21
pubs.issue 1
pubs.organisational-group Duke
pubs.organisational-group Economics
pubs.organisational-group Trinity College of Arts & Sciences
pubs.publication-status Published
pubs.volume 17
dc.identifier.eissn 1537-2707


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record