Testing the mixture-of-distributions hypothesis using "realized" volatility
Testing the mixture-of-distributions hypothesis using "realized" volatility
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Publisher
Hoboken: Wiley Subscription Services, Inc., A Wiley Company
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Language
English
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Publisher
Hoboken: Wiley Subscription Services, Inc., A Wiley Company
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Contents
The mixture‐of‐distributions hypothesis (MDH) posits that price volatility and
trading volume are both subordinated to the same information arrival rate or “news” process.
Existing studies that test MDH have the problem that both the information arrival rate and volatility are
unobservable. Recent work (e.g., Andersen et al., 2001) suggest...
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Full title
Testing the mixture-of-distributions hypothesis using "realized" volatility
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TN_cdi_proquest_miscellaneous_38498910
Permalink
https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_proquest_miscellaneous_38498910
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ISSN
0270-7314
E-ISSN
1096-9934
DOI
10.1002/fut.10077
