This paper uses dynamic impulse response analysis to investigate the interrelationships among stock price volatility, trading volume, and the leverage effect. Dynamic impulse response analysis is a technique for analyzing the multistep ahead characteristics of a nonparametric estimate of the one-step conditional density of a strictly stationary process. The technique is the generalization to a nonlinear process of Sims-style impulse response analysis for lienar models. In this paper, we refine the technique and apply it to a long panel of daily observations on the price and trading volume of four stocks actively traded on the NYSE: Boeing, Coca Cola, IBM, and MMM.
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Paper provided by Duke University, Department of Economics in its series Working Papers with number
95-02.
Length: Date of creation: 1995 Date of revision: Publication status: Published in JOURNAL OF ECONOMETRICS, Vol. 74, 1996, pages 177-208 Handle: RePEc:duk:dukeec:95-02
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