Title
Bayesian modeling of financial returns: A relationship between volatility and trading volume
Date Issued
01 March 2010
Access level
metadata only access
Resource Type
journal article
Author(s)
Universidade Federal do Rio de Janeiro
Abstract
The modified mixture model with Markov switching volatility specification is introduced to analyze the relationship between stock return volatility and trading volume. We propose to construct an algorithm based on Markov chain Monte Carlo simulation methods to estimate all the parameters in the model using a Bayesian approach. The series of returns and trading volume of the British Petroleum stock will be analyzed. Copyright © 2009 John Wiley & Sons, Ltd.
Start page
172
End page
193
Volume
26
Issue
2
Language
English
OCDE Knowledge area
Estadísticas, Probabilidad
Ingeniería de producción
Subjects
DOI
Scopus EID
2-s2.0-77950855891
Source
Applied Stochastic Models in Business and Industry
ISSN of the container
15241904
Sources of information:
Directorio de Producción Científica
Scopus