The impact of trades on daily volatility

Avramov, Doron, Chordia, Tarun and Goyal, Amit 2006, The impact of trades on daily volatility, Review of financial studies, vol. 19, no. 4, Winter, pp. 1241-1277, doi: 10.1093/rfs/hhj027.

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Title The impact of trades on daily volatility
Author(s) Avramov, Doron
Chordia, Tarun
Goyal, Amit
Journal name Review of financial studies
Volume number 19
Issue number 4
Season Winter
Start page 1241
End page 1277
Total pages 37
Publisher Oxford University Press
Place of publication Oxford, Eng.
Publication date 2006-12-01
ISSN 0893-9454
Keyword(s) trade
stock returns
leverage effect
time-varying expected returns
asymmetric volatility
Language eng
DOI 10.1093/rfs/hhj027
Field of Research 1402 Applied Economics
1502 Banking, Finance And Investment
1401 Economic Theory
HERDC Research category C1.1 Refereed article in a scholarly journal
Copyright notice ©2006, The Author
Persistent URL

Document type: Journal Article
Collections: Faculty of Business and Law
Department of Finance
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