Kellogg Graduate School of Management, Northwestern University. The article develops ideas originally put forth in my Ph.D. dissertation at Yale University. I am grateful to the members of my dissertation committee, Peter Phillips, Steve Ross, and Steve Heston for advice. In addition, conversations with Don Andrews, Tim Bollerslev, Mike Fishman, Bob Hodrick, Neil Shephard, Ken Singleton, Bent Sørensen, George Tauchen, and Stephen Taylor have been helpful. I also received valuable comments from seminar participants at the NBER Summer Institute, 1993, Northwestern University, the University of Illinois at Chicago, the EFA Meetings in Copenhagen, August 1993, University of Wisconsin at Madison, Ohio State University, the AFA Meetings in Boston, January 1994, and the Microstructure Workshop at The Aarhus School of Business, September 1994. Finally, I thank two anonymous referees and the editor, René Stulz, for numerous suggestions that have sharpened the focus of the article. Naturally, all errors remain my own responsibility.
Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility
Version of Record online: 30 APR 2012
© 1996 the American Finance Association
The Journal of Finance
Volume 51, Issue 1, pages 169–204, March 1996
How to Cite
ANDERSEN, T. G. (1996), Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility. The Journal of Finance, 51: 169–204. doi: 10.1111/j.1540-6261.1996.tb05206.x
- Issue online: 30 APR 2012
- Version of Record online: 30 APR 2012
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