Testing the mixture-of-distributions hypothesis using "realized" volatility

Journal of Futures Markets

Volumn 23, Issue 7, 2003, Pages 661-679

  Luu, James C ^a   Martens, Martin ^b  

^a UNIVERSITY OF NEW SOUTH WALES   (Australia)

^b ERASMUS UNIVERSITY ROTTERDAM   (Netherlands)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0038456287     PISSN: 02707314     EISSN: None     Source Type: Journal    
DOI: 10.1002/fut.10077     Document Type: Article

References (28)

1. Akaike, H. (1974). A new look at the statistical model identification. IEEE Transactions on Automatic Control, AC-19, 716-723.
2. Andersen, T. G. (1996). Return volatility and trading volume: An information flow interpretation of stochastic volatility. Journal of Finance, 51, 169-204.
3. Andersen, T. G., & Bollerslev, T. (1998a). DM-dollar volatility; Intraday activity patterns, macroeconomic announcements and longer run dependencies. Journal of Finance, 53, 219-265.
4. Andersen, T. G., & Bollerslev, T. (1998b). Answering the critics: Yes, ARCH models do provide good volatility forecasts. International Economic Review, 39, 885-905.
5. Andersen, T. G., Bollerslev, T., Diebold, F. X., & Ebens, H. (2001). The distribution of realized stock return volatility. Journal of Financial Economics, 61, 43-76.
6. Baillie, R. T. (1996). Long memory processes and fractional integration in econometrics. Journal of Econometrics, 73, 5-59.
7. Bessembinder, H., & Seguin, P. J. (1993). Price volatility, trading volume and market depth: Evidence from future markets. Journal of Financial and Quantitative Analysis, 28, 21-39.
8. Bollen, N. P. B., Smith, T., & Whaley, R. E. (2001). Optimal contract design: For whom? Working paper. Vanderbilt University.
9. Bollerslev, T., & Jubinski, D. (1999). Equity trading volume and volatility: Latent information arrivals and common long-run dependencies. Journal of Business & Economic Statistics, 17, 9-21.
10. Bollerslev, T., & Wright, J. H. (2000). Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data. Journal of Econometrics, 98, 81-106.
11. Chatrath, A., Ramchander, S., & Song, F. (1996). The role of futures trading activity in exchange rate volatility. Journal of Futures Markets, 16, 561-584.
12. Clark, P. K. (1973). A subordinated stochastic process model with finite variance for speculative prices. Econometrica, 41, 135-155.
13. Fung, H-G., & Patterson, G. A. (1999). The dynamic relationship of volatility, volume, and market depth in currency futures markets. Journal of International Financial Markets, Institutions and Money, 9, 33-59.
14. Garcia, P., Leuthold, R. M., & Zapata, H. (1986). Lead-lag relationships between trading volume and price variability: New evidence. Journal of Futures Markets, 6, 1-10.
15. Hurvich, C. M., Deo, R., & Brodsky, J. (1998). The mean squared error of Geweke and Porter Hudak's estimator of the memory parameter of a long-memory time series. Journal of Time Series Analysis, 19, 19-46.
16. Karpoff, J. (1987). The relation between price changes and trading volume: A survey. Journal of Financial and Quantitative Analysis, 22, 109-126.
17. Lamoureux, C. G., & Lastrapes, W. D. (1990). Heteroskedasticity in stock return data: Volume versus GARCH effects. Journal of Finance, 45, 221-229.
18. Lamoureux, C. G., & Lastrapes, W. D. (1994). Endogenous trading volume and momentum in stock-return volatility. Journal of Business and Economic Statistics, 12, 253-260.
19. Laux, P. A., & Ng, L. K. (1993). The sources of GARCH: Empirical evidence from an intraday returns model incorporating systematic and unique risks. Journal of International Money and Finance, 12, 543-560.
20. Liesenfeld, R. (1998). Dynamic bivariate mixture models: modeling the behavior of prices and trading volume. Journal of Business and Economic Statistics, 16, 101-109.
21. Liesenfeld, R. (2001). A generalized bivariate mixture model for stock price volatility and trading volume. Journal of Econometrics, 104, 141-178.
22. Najand, M., & Yung, K. (1991). A GARCH examination of the relationship between volume and price variability in futures markets. Journal of Futures Markets, 11, 613-621.
23. O'Hara, M. (1995). Market microstructure theory. Cambridge, MA: Basil Blackwell.
24. Parke, W. R. (1999). What is fractional integration? Review of Economics and Statistics, 81, 632-638.
25. Richardson, M., & T. Smith (1994). A direct test of the mixture of distributions hypothesis: Measuring the daily flow of information. Journal of Financial and Quantitative Analysis, 29, 101-116.
26. Robinson, P. M. (1995). Log-periodogram regression of time series with long-range dependence. The Annals of Statistics, 23, 1048-1072.
27. Smirlock, M., & Starks, L. (1988). An empirical analysis of the stock price-volume relationship. Journal of Banking and Finance, 12, 31-41.
28. Tauchen, G. E., & Pitts, M. (1983). The price variability-volume relationship on speculative markets. Econometrica, 51, 485-505.