Temporal Aggregation and Systematic Sampling Effects on Non Linear Granger Causality Tests between Trade Volume and Returns. Some Monte Carlo and Empirical Results from the Athens Stocks Exchange

Dikaios Tserkezos ()
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Dikaios Tserkezos: Department of Economics, University of Crete, Greece

No 1310, Working Papers from University of Crete, Department of Economics

Keywords: Granger Non Linear Tests; Temporal Aggregation; Systematic Sampling; Trade Volume and Returns (search for similar items in EconPapers)
JEL-codes: C32 C43 C51 (search for similar items in EconPapers)
Pages: 28 pages
Date: 2013-12-02
New Economics Papers: this item is included in nep-ecm and nep-int
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