GARCH modelling of the volume-volatility relation in equity markets
Citation:
Rachel Carroll, 'GARCH modelling of the volume-volatility relation in equity markets', [thesis], Trinity College (Dublin, Ireland). Trinity Business School, 2012, pp 312Download Item:
Abstract:
The 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.
Author: Carroll, Rachel
Advisor:
Kearney, ColmQualification name:
Doctor of Philosophy (Ph.D.)Publisher:
Trinity College (Dublin, Ireland). Trinity Business SchoolNote:
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Business, Ph.D., Ph.D. Trinity College DublinMetadata
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