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Volume, volatility, and leverage: A dynamic analysis
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DOI：10.1016/0304-4076(95)01755-0.png)
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This paper uses dynamic impulse response analysis to investigate the interrelationships among stock price volatility, trading volume, and the leverage effect. Dynamic impulse response analysis is a technique for analyzing the multi-step-ahead characteristics of a nonparametric estimate of the one-step conditional density of a strictly stationary process. The technique is the generalization to a nonlinear process of Sims-style impulse response analysis for linear models. In this paper, we refine the technique and apply ii to a long panel of daily observations on the price and trading volume of four stocks actively traded on the NYSE: Boeing, Coca-Cola, IBM, and MMM.
Keyword:
dynamic impulse response
financial time series
nonlinear processes
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TESTING FOR LINEAR AND NONLINEAR GRANGER CAUSALITY IN THE STOCK PRICE-VOLUME RELATION.png)
JOURNAL OF FINANCE
JOURNAL OF FINANCEIF9.5
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