English, Article, Journal or magazine article edition: Long Memory and Tail dependence in Trading Volume and Volatility Eduardo Rossi; Paolo Santucci de Magistris

User activity

Share to:
 
Bookmark: http://trove.nla.gov.au/version/104101
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Long Memory and Tail dependence in Trading Volume and Volatility
Author
  • Eduardo Rossi
  • Paolo Santucci de Magistris
Physical Description
  • preprint
Notes
  • This paper investigates long-run dependencies of volatility and volume, supposing that are driven by the same informative process. Log-realized volatility and log-volume are characterized by upper and lower tail dependence, where the positive tail dependence is mainly due to the jump component. The possibility that volume and volatility are driven by a common fractionally integrated stochastic trend, as the Mixture Distribution Hypothesis prescribes, is rejected. We model the two series with a bivariate Fractionally Integrated VAR specification. The joint density is parameterized by means of with different copula functions, which provide flexibility in modeling the dependence in the extremes and are computationally convenient. Finally, we present a simulation exercise to validate the model.
  • Realized Volatility, Trading Volume, Fractional Cointegration, Tail dependence, Copula Modeling
  • RePEc:aah:create:2009-30
Language
  • English
Contributed by
OAIster

Get this edition

Other links

  • Set up My libraries

    How do I set up "My libraries"?

    In order to set up a list of libraries that you have access to, you must first login or sign up. Then set up a personal list of libraries from your profile page by clicking on your user name at the top right of any screen.

  • All (1)
  • Unknown (1)
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.

User activity


e.g. test cricket, Perth (WA), "Parkes, Henry"

Separate different tags with a comma. To include a comma in your tag, surround the tag with double quotes.

Be the first to add a tag for this edition

Be the first to add this to a list

Comments and reviews

What are comments? Add a comment

No user comments or reviews for this version

Add a comment