1994-03-01, English, Article, Journal or magazine article edition: A direct test of the mixture of distributions hypothesis: Measuring the daily flow of information Richardson, Matthew; Smith, Tom

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Bookmark: http://trove.nla.gov.au/version/185100545
Physical Description
  • journal article
Published
  • Cambridge University Press, 1994-03-01
Language
  • English

Edition details

Title
  • A direct test of the mixture of distributions hypothesis: Measuring the daily flow of information
Author
  • Richardson, Matthew
  • Smith, Tom
Published
  • Cambridge University Press, 1994-03-01
Physical Description
  • journal article
Summary
  • This paper proposes and conducts direct tests of the mixture of distributions model for stock prices. By exploiting the model's bivariate conditional normality of price changes and trading volume, these restrictions can be tested under very weak assumptions regarding the daily flow of information to the market. As a technical by product, important parameters governing the distribution of this unobservable information flow are estimated.
Language
  • English
Related Resource
Identifier
  • oai:espace.library.uq.edu.au:UQ:274629

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