Intraday Price Volatility and Trading Volume: A Case of the Japanese Government Bond Futures |
Common terms and phrases
5-minute returns adjusted returns amount of information causality from volume changes randomly common factor model covariance matrix critical values daily data deviation of returns distributions hypothesis dynamic relation estimated value financial risk management fits data better Futures contract Government Bond JGB h₁ idiosyncratic noises intraday data Japanese Government Bond jointly determined Kalman filter kurtosis Lamoureux and Lastrapes Lastrapes 1990 latent common factor likelihood function linear state space Locke and Sayers Log Trading Volume log volume series LR statistic mixture of distributions mixture-of-distributions hypothesis model fits data normally distributed null hypothesis parameters quasi-maximum likelihood procedure relation between volatility return volatility returns and log sample mean serial correlation significance level simultaneous relation single latent common space form standard deviation standard errors Stochastic Volatility Tokyo Metropolitan University values for LB(12 variance equation volatility and trading volatility and volume Volatility Model volume are jointly volume to volatility Watanabe 1993 Chapter