Bayesian modeling of financial returns: A relationship between volatility and trading volume

Carlos A. Abanto‐Valle, Helio S. Migon and Hedibert F. Lopes

Applied Stochastic Models in Business and Industry, 2010, vol. 26, issue 2, 172-193

Abstract: The modified mixture model with Markov switching volatility specification is introduced to analyze the relationship between stock return volatility and trading volume. We propose to construct an algorithm based on Markov chain Monte Carlo simulation methods to estimate all the parameters in the model using a Bayesian approach. The series of returns and trading volume of the British Petroleum stock will be analyzed. Copyright © 2009 John Wiley & Sons, Ltd.

Date: 2010
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
https://doi.org/10.1002/asmb.789

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wly:apsmbi:v:26:y:2010:i:2:p:172-193

Access Statistics for this article

More articles in Applied Stochastic Models in Business and Industry from John Wiley & Sons
Bibliographic data for series maintained by Wiley Content Delivery ().