Please use this identifier to cite or link to this item:
|Title:||A nonparametric test of the mixture-of-distributions model|
|Authors:||Fong, W.M. |
|Citation:||Fong, W.M., Lab-Sane, W.F. (2003). A nonparametric test of the mixture-of-distributions model. Quantitative Finance 3 (3) : 184-194. ScholarBank@NUS Repository. https://doi.org/10.1088/1469-7688/3/3/304|
|Abstract:||Intertemporal implications of the mixture-of-distributions hypothesis (MDH) are derived based on the concept of time reversibility in statistical mechanics. The restrictions are tested using simple nonparametric tests that do not impose auxiliary assumptions on the stochastic process for trading volume, price volatility or information arrivals. The tests reject the standard MDH with one latent factor. In particular, shocks to volatility and volume are temporally asymmetric, contrary to the predictions of the MDH. The results indicate that multifactor models are needed to explain the dynamics of the volume-volatility relation.|
|Source Title:||Quantitative Finance|
|Appears in Collections:||Staff Publications|
Show full item record
Files in This Item:
There are no files associated with this item.
checked on Jun 14, 2018
WEB OF SCIENCETM
checked on May 15, 2018
checked on Apr 21, 2018
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.