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.

Attached Files
Name Description MIMEType Size Downloads

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
1465-7368
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 http://hdl.handle.net/10536/DRO/DU:30098955

Document type: Journal Article
Collections: Faculty of Business and Law
Department of Finance
Connect to link resolver
 
Unless expressly stated otherwise, the copyright for items in DRO is owned by the author, with all rights reserved.

Versions
Version Filter Type
Citation counts: TR Web of Science Citation Count  Cited 75 times in TR Web of Science
Scopus Citation Count Cited 90 times in Scopus
Google Scholar Search Google Scholar
Access Statistics: 141 Abstract Views, 1 File Downloads  -  Detailed Statistics
Created: Mon, 24 Jul 2017, 08:37:41 EST

Every reasonable effort has been made to ensure that permission has been obtained for items included in DRO. If you believe that your rights have been infringed by this repository, please contact drosupport@deakin.edu.au.