There's more to volatility than volume
It is widely believed that fluctuations in transaction volume, as reflected in the number of transactions and to a lesser extent their size, are the main cause of clustered volatility. Under this view bursts of rapid or slow price diffusion reflect bursts of frequent or less frequent trading, wh...
| Main Authors: | , , |
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| Format: | Journal article |
| Published: |
2006
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