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
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