A generalized bivariate mixture model for stock price volatility and trading volume

Journal of Econometrics

Volumn 104, Issue 1, 2001, Pages 141-178

  Liesenfeld, Roman ^a  

^a UNIVERSITY OF TÜBINGEN   (Germany)

Author keywords

Latent dynamic variables; Leverage effect; Short And long run volatility components; Simulated maximum likelihood; Volatility persistence

Indexed keywords

EID: 0038076512     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4076(01)00062-8     Document Type: Article

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