Volume, volatility, and leverage: A dynamic analysis

Journal of Econometrics

Volumn 74, Issue 1, 1996, Pages 177-208

  Tauchen, George ^a   Zhang, Harold ^b   Liu, Ming ^a  

^a DUKE UNIVERSITY   (United States)

^b CARNEGIE MELLON UNIVERSITY   (United States)

Author keywords

Dynamic impulse response; Financial time series; Nonlinear processes

Indexed keywords

EID: 0000770276     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/0304-4076(95)01755-0     Document Type: Article

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