Please use this identifier to cite or link to this item:
https://doi.org/10.1016/S0165-1765(03)00146-0
| Title: | Time reversibility tests of volume-volatility dynamics for stock returns | Authors: | Fong, W.M. | Keywords: | ARCH and trading volume Nonparametric test Time reversibility |
Issue Date: | 2003 | Citation: | Fong, W.M. (2003). Time reversibility tests of volume-volatility dynamics for stock returns. Economics Letters 81 (1) : 39-45. ScholarBank@NUS Repository. https://doi.org/10.1016/S0165-1765(03)00146-0 | Abstract: | Non-parametric tests based on the concept of time reversibility in statistical mechanics are applied to assess the dynamic implications of the mixture-of-distributions hypothesis (MDH). The tests show that shocks to volume and volatility are dynamically asymmetric, thus rejecting the one-factor MDH. © 2003 Elsevier B.V. All rights reserved. | Source Title: | Economics Letters | URI: | http://scholarbank.nus.edu.sg/handle/10635/44468 | ISSN: | 01651765 | DOI: | 10.1016/S0165-1765(03)00146-0 |
| Appears in Collections: | Staff Publications |
Show full item record
Files in This Item:
There are no files associated with this item.
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.