A Dynamic Structural Model for Stock Return Volatility and Trading Volume
收藏NBER1995-01-01 更新2025-01-04 收录
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https://www.nber.org/papers/w4988
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This paper seeks to develop a structural model that lets data on asset returns and trading volume speak to whether volatility autocorrelation comes from the fundamental that the trading process is pricing or, is caused by the trading process itself. Returns and volume data argue, in the context of
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美国国家经济研究局创建时间：
1995-01-01
