Dynamic Relationship among Intraday Realized Volatility, Volume and Number of Trades

Kerr Hatrick, Mike So (), S. Chung and R. Deng

Asia-Pacific Financial Markets, 2011, vol. 18, issue 3, 317 pages

Keywords: High frequency data; Impulse response function; Realized volatility; Trading volume; Vector autoregressive model (search for similar items in EconPapers)
Date: 2011
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DOI: 10.1007/s10690-010-9126-0

Asia-Pacific Financial Markets is currently edited by Jiro Akahori

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