The Stochastic Dependence of Security Price Changes and Transaction Volumes in a Model with Temporally Dependent Price Changes
作者:
ThomasW. Epps,
期刊:
Journal of the American Statistical Association
(Taylor Available online 1976)
卷期:
Volume 71,
issue 356
页码: 830-834
ISSN:0162-1459
年代: 1976
DOI:10.1080/01621459.1976.10480954
出版商: Taylor & Francis Group
数据来源: Taylor
摘要:
A model of security price behavior is presented, which allows for the observed temporal dependence in price changes from one transaction to the next and for the stochastic dependence between price changes and the numbers of shares traded. Tests of the model are conducted with data for corporate bonds and stocks. The results reveal some interesting differences in the two price processes.
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