-
1
-
-
0002816156
-
A theory of intraday patterns: Volume and price variability
-
Admati, A. and Pfleiderer, P. (1988) A theory of intraday patterns: volume and price variability. Review of Financial Studies. 1, 3-40.
-
(1988)
Review of Financial Studies
, vol.1
, pp. 3-40
-
-
Admati, A.1
Pfleiderer, P.2
-
2
-
-
0009232225
-
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
-
-
45949119836
-
A monthly effect in stock returns
-
Ariel, R. A. (1987) A monthly effect in stock returns. Journal of Financial Economics, 18, 161-74.
-
(1987)
Journal of Financial Economics
, vol.18
, pp. 161-174
-
-
Ariel, R.A.1
-
4
-
-
23544473378
-
La imposición sobre plusvalías y minusvalias: Sus efectos sobre el comportamiento estacional del mercado de valores
-
Basarrate, B. and Rubio, G. (1994) La imposición sobre plusvalías y minusvalias: Sus efectos sobre el comportamiento estacional del mercado de valores, Revista Española de Economia. 11, 247-77.
-
(1994)
Revista Española De Economia
, vol.11
, pp. 247-277
-
-
Basarrate, B.1
Rubio, G.2
-
5
-
-
0033481743
-
Equity trading volume and volatility: Latent information arrivals and common long-run dependencies
-
Bollerslev, T. and Jubinski, D. (1999) Equity trading volume and volatility: Latent information arrivals and common long-run dependencies, Journal of Business and Economic Statistics, 17, 9-21.
-
(1999)
Journal of Business and Economic Statistics
, vol.17
, pp. 9-21
-
-
Bollerslev, T.1
Jubinski, D.2
-
6
-
-
0000346734
-
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
-
8
-
-
0001216724
-
Security price changes and transaction volumes: Theory and evidence
-
Epps, T. W. (1975) Security price changes and transaction volumes: theory and evidence, American Economic Review. 65, 586-97
-
(1975)
American Economic Review
, vol.65
, pp. 586-597
-
-
Epps, T.W.1
-
9
-
-
0000756720
-
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
-
10
-
-
0000763880
-
A theory of the interday variations in volume, variance, and trading costs in securities markets
-
Foster, D. and Viswanathan, S. (1990) A theory of the interday variations in volume, variance, and trading costs in securities markets. Review of Financial Studies, 3, 593-624.
-
(1990)
Review of Financial Studies
, vol.3
, pp. 593-624
-
-
Foster, D.1
Viswanathan, S.2
-
11
-
-
0000404701
-
Stock prices and volume
-
Gallant, A. R., Rossi, P. E. and Tauchen, G. (1992) Stock prices and volume. Review of Financial Studies, 5, 199-242.
-
(1992)
Review of Financial Studies
, vol.5
, pp. 199-242
-
-
Gallant, A.R.1
Rossi, P.E.2
Tauchen, G.3
-
12
-
-
0000414660
-
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
-
13
-
-
46149130184
-
A transaction data study of weekly and intradaily patterns in stock returns
-
Harris, L. (1986) A transaction data study of weekly and intradaily patterns in stock returns. Journal of Financial Economics, 16, 99-117.
-
(1986)
Journal of Financial Economics
, vol.16
, pp. 99-117
-
-
Harris, L.1
-
14
-
-
0032384640
-
Does seasonal adjustment induce common cycles?
-
Hecq, A. (1998) Does seasonal adjustment induce common cycles? Economics Letters. 59, 289-97.
-
(1998)
Economics Letters
, vol.59
, pp. 289-297
-
-
Hecq, A.1
-
16
-
-
35548931351
-
Efficient tests for normality, homoscedasticity and serial independence of regression residuals
-
Jarque, C. M. and Bera, A. K. (1980) Efficient tests for normality, homoscedasticity and serial independence of regression residuals. Economics Letters, 6, 255-9.
-
(1980)
Economics Letters
, vol.6
, pp. 255-259
-
-
Jarque, C.M.1
Bera, A.K.2
-
17
-
-
84919214538
-
The relation between price changes and trading volume: A survey
-
Karpoff, J. M. (1987) The relation between price changes and trading volume: A survey. Journal of Financial and Quantitative Analysis. 22, 109-26.
-
(1987)
Journal of Financial and Quantitative Analysis
, vol.22
, pp. 109-126
-
-
Karpoff, J.M.1
-
19
-
-
0032354179
-
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
-
22
-
-
0000706085
-
A simple, positive semidefinite, heteroscedasticity and autocorrelation consistent covariance matrix
-
Newey, W. K. and West, K. D. (1987) A simple, positive semidefinite, 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
-
23
-
-
0005832669
-
Skewness in financial returns
-
Peiró, A. (1999) Skewness in financial returns. Journal of Banking and Finance, 23, 847-62.
-
(1999)
Journal of Banking and Finance
, vol.23
, pp. 847-862
-
-
Peiró, A.1
-
24
-
-
84971972619
-
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
-
25
-
-
0010014005
-
Evidence that trading volume sustains stock price changes
-
Stickel, S. E. and Verrecehia, R. E. (1994) Evidence that trading volume sustains stock price changes. Financial Analysts Journal. 57-67.
-
(1994)
Financial Analysts Journal
, pp. 57-67
-
-
Stickel, S.E.1
Verrecehia, R.E.2
-
26
-
-
0000658999
-
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
-
27
-
-
0000057284
-
Model specification in multivariate time series
-
Tiao, G. C. and Tsay, R. S. (1989) Model specification in multivariate time series. Journal of Royal Statistical Society, series B, 51,157-213.
-
(1989)
Journal of Royal Statistical Society, Series B
, vol.51
, pp. 157-213
-
-
Tiao, G.C.1
Tsay, R.S.2
-
29
-
-
9944250635
-
Análisis de causalidad entre rendimientos y volumen
-
Zarraga, A. (1998) Análisis de causalidad entre rendimientos y volumen. Investigaciones Economicas, 22, 45-67.
-
(1998)
Investigaciones Economicas
, vol.22
, pp. 45-67
-
-
Zarraga, A.1
-
30
-
-
33746457588
-
Un analisis de Ia relación entre rendimientos y volumen en el mercado de valores español
-
unpublished Doctoral Dissertation, UPV/EHU
-
Zarraga, A. (1999) Un analisis de Ia relación entre rendimientos y volumen en el mercado de valores español, unpublished Doctoral Dissertation, UPV/EHU.
-
(1999)
-
-
Zarraga, A.1
|