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dc.contributor.advisorKearney, Colm
dc.contributor.authorCarroll, Rachel
dc.date.accessioned2017-01-18T10:50:34Z
dc.date.available2017-01-18T10:50:34Z
dc.date.issued2012
dc.identifier.citationRachel Carroll, 'GARCH modelling of the volume-volatility relation in equity markets', [thesis], Trinity College (Dublin, Ireland). Trinity Business School, 2012, pp 312
dc.identifier.otherTHESIS 9729
dc.identifier.urihttp://hdl.handle.net/2262/78839
dc.description.abstractThe mixture of distributions hypothesis (MDH) provides a theoretical explanation for the existence of a positive volume-volatility relationship. According to this hypothesis, both volume and volatility are driven by a common latent variable, the arrival of information to the market. The MDH implies that the correlation between trading volume and return volatility tends to rise with increases in the variance of the daily rate of information flow to the market.
dc.format1 volume
dc.language.isoen
dc.publisherTrinity College (Dublin, Ireland). Trinity Business School
dc.relation.isversionofhttp://stella.catalogue.tcd.ie/iii/encore/record/C__Rb15157522
dc.subjectBusiness, Ph.D.
dc.subjectPh.D. Trinity College Dublin
dc.titleGARCH modelling of the volume-volatility relation in equity markets
dc.typethesis
dc.type.supercollectionthesis_dissertations
dc.type.supercollectionrefereed_publications
dc.type.qualificationlevelDoctoral
dc.type.qualificationnameDoctor of Philosophy (Ph.D.)
dc.rights.ecaccessrightsopenAccess
dc.format.extentpaginationpp 312
dc.description.noteTARA (Trinity’s Access to Research Archive) has a robust takedown policy. Please contact us if you have any concerns: rssadmin@tcd.ie


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