Volume, volatility, and leverage: A dynamic analysis
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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.
Published Version (Please cite this version)10.1016/0304-4076(95)01755-0
Publication InfoLiu, M; Tauchen, George E; & Zhang, H (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 http://hdl.handle.net/10161/1897.
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William Henry Glasson Professor of Economics
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