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Volumn 13, Issue 11, 2003, Pages 841-848

GMM-based testing procedures of the mixture of distributions model

Author keywords

[No Author keywords available]

Indexed keywords

MARKET CONDITIONS; MODELING; STOCK MARKET;

EID: 0242659045     PISSN: 09603107     EISSN: None     Source Type: Journal    
DOI: 10.1080/0960310032000129608     Document Type: Article
Times cited : (12)

References (13)
  • 1
    • 0009232225 scopus 로고    scopus 로고
    • Return volatility and trading volume: An information flow interpretation of stochastic volatility
    • Andersen, T. G. (1996) Return volatility and trading volume: an information flow interpretation of stochastic volatility, Journal of Finance, 51, 169-204.
    • (1996) Journal of Finance , vol.51 , pp. 169-204
    • Andersen, T.G.1
  • 3
    • 0000346734 scopus 로고
    • A subordinated stochastic process model with finite variance for speculative prices
    • Clark, P. K. (1973) A subordinated stochastic process model with finite variance for speculative prices, Econometrica, 41, 135-55.
    • (1973) Econometrica , vol.41 , pp. 135-155
    • Clark, P.K.1
  • 4
    • 0000756720 scopus 로고
    • The stochastic dependence of security price changes and transaction volumes: Implications for the mixture-of-distributions hypothesis
    • Epps, T. W. and Epps, M. L. (1976) The stochastic dependence of security price changes and transaction volumes: implications for the mixture-of-distributions hypothesis, Econometrica, 44, 305-21.
    • (1976) Econometrica , vol.44 , pp. 305-321
    • Epps, T.W.1    Epps, M.L.2
  • 6
    • 0345401653 scopus 로고
    • Bid, ask, and transaction prices in a specialist market with heterogeneously informed traders
    • Glosten, L. R. and Milgrom, P. R. (1985) Bid, ask, and transaction prices in a specialist market with heterogeneously informed traders, Journal of Financial Economics, 14, 71-100.
    • (1985) Journal of Financial Economics , vol.14 , pp. 71-100
    • Glosten, L.R.1    Milgrom, P.R.2
  • 7
    • 0000414660 scopus 로고
    • Large sample properties of generalized method of moment estimators
    • Hansen, L. P. (1982) Large sample properties of generalized method of moment estimators, Econometrica, 50, 1029-54.
    • (1982) Econometrica , vol.50 , pp. 1029-1054
    • Hansen, L.P.1
  • 8
    • 0000990912 scopus 로고
    • Transaction data tests of the mixture of distributions hypothesis
    • Harris, L. (1987) Transaction data tests of the mixture of distributions hypothesis, Journal of Financial and Quantitative Analysis, 22, 127-41.
    • (1987) Journal of Financial and Quantitative Analysis , vol.22 , pp. 127-141
    • Harris, L.1
  • 10
    • 0032354179 scopus 로고    scopus 로고
    • Dynamic bivariate mixture models: Modeling the behavior of prices and trading volume
    • Liesenfeld, R. (1998) Dynamic bivariate mixture models: modeling the behavior of prices and trading volume, Journal of Business and Economic Statistics, 16, 101-9.
    • (1998) Journal of Business and Economic Statistics , vol.16 , pp. 101-109
    • Liesenfeld, R.1
  • 11
    • 0000706085 scopus 로고
    • A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix
    • Newey, W. K. and West, K. D. (1987) A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix, Econometrica, 55, 703-8.
    • (1987) Econometrica , vol.55 , pp. 703-708
    • Newey, W.K.1    West, K.D.2
  • 12
    • 84971972619 scopus 로고
    • A direct test of the mixture of distributions hypothesis: Measuring the daily flow of information
    • Richardson, M. and Smith, T. (1994) A direct test of the mixture of distributions hypothesis: measuring the daily flow of information, Journal of Financial and Quantitative Analysis, 29, 101-16.
    • (1994) Journal of Financial and Quantitative Analysis , vol.29 , pp. 101-116
    • Richardson, M.1    Smith, T.2
  • 13
    • 0000658999 scopus 로고
    • The price variability-volume relationship on speculative markets
    • Tauchen, G. E. and Pitts, M. (1983) The price variability-volume relationship on speculative markets, Econometrica, 51, 485-505.
    • (1983) Econometrica , vol.51 , pp. 485-505
    • Tauchen, G.E.1    Pitts, M.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.