Volume, volatility, and leverage: A dynamic analysis
Abstract
This paper uses dynamic impulse response analysis to investigate the interrelationships
among stock price volatility, trading volume, and the leverage effect. Dynamic impulse
response analysis is a technique for analyzing the multi-step-ahead characteristics
of a nonparametric estimate of the one-step conditional density of a strictly stationary
process. The technique is the generalization to a nonlinear process of Sims-style
impulse response analysis for linear models. In this paper, we refine the technique
and apply it to a long panel of daily observations on the price and trading volume
of four stocks actively traded on the NYSE: Boeing, Coca-Cola, IBM, and MMM.
Type
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https://hdl.handle.net/10161/1897Published Version (Please cite this version)
10.1016/0304-4076(95)01755-0Publication Info
(1996). Volume, volatility, and leverage: A dynamic analysis. Journal of Econometrics, 74(1). pp. 177-208. 10.1016/0304-4076(95)01755-0. Retrieved from https://hdl.handle.net/10161/1897.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.
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Show full item recordScholars@Duke
George E. Tauchen
William Henry Glasson Distinguished Professor Emeritus
George Tauchen is the William Henry Glasson Professor of Economics and professor of
finance at the Fuqua School of Business. He joined the Duke faculty in 1977 after
receiving his Ph.D. from the University of Minnesota. He did his undergraduate work
at the University of Wisconsin. Professor Tauchen is a fellow of the Econometric Society,
the American Statistical Association, the Journal of Econometrics, and the Society
for Financial Econometrics (SoFie). He is also the 2003 Duke University Sc
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