Title of article
Time reversibility tests of volume–volatility dynamics for stock returns
Author/Authors
Wai Mun Fong، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2003
Pages
7
From page
39
To page
45
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.
Keywords
Nonparametric test , Time reversibility , ARCH and trading volume
Journal title
Economics Letters
Serial Year
2003
Journal title
Economics Letters
Record number
435264
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