کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
958602 | 929041 | 2010 | 8 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Trading activity, realized volatility and jumps
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موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
This paper takes a new look at the relation between volume and realized volatility. In contrast to prior studies, we decompose realized volatility into two major components: a continuously varying component and a discontinuous jump component. Our results confirm that the number of trades is the dominant factor shaping the volume–volatility relation, whatever the volatility component considered. However, we also show that the decomposition of realized volatility bears on the volume–volatility relation. Trade variables are positively related to the continuous component only. The well-documented positive volume–volatility relation does not hold for jumps.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Empirical Finance - Volume 17, Issue 1, January 2010, Pages 168–175
Journal: Journal of Empirical Finance - Volume 17, Issue 1, January 2010, Pages 168–175
نویسندگان
Pierre Giot, Sébastien Laurent, Mikael Petitjean,