Title page for etd-0728104-135715


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URN etd-0728104-135715
Author Chi-liang Chen
Author's Email Address m9124603@student.nsysu.edu.tw
Statistics This thesis had been viewed 5066 times. Download 3094 times.
Department Applied Mathematics
Year 2003
Semester 2
Degree Master
Type of Document
Language English
Title Studies on the long range dependence in stock return volatility and trading volume
Date of Defense 2004-07-09
Page Count 51
Keyword
  • fractionally integrated order
  • volatility estimation
  • frequency domain least squares
  • cross spectrum analysis
  • fractional cointegration
  • Abstract Many empirical studies show that both equity volatility and its trading volume have long range dependence and can be modeled as fractional integrated processes. The objective of this study is to investigate relationship between volatility and volume.We adopt four estimators of volatility, which includes the squared log returns, historical volatility, iterative t estimators and $GARCH$ estimators. The results show that among the four estimators squared log returns usually have the largest integration orders and produce hightest ratios of fractional cointegration. The fractional integrated orders are estimated separately and jointly, and the cointegration parameters are estimated by ordinary least squares, a narrow band frequency domain least squares method and a semiparametric estimator of Whittle likelihood. Models are also established when volatility and volume are not fractional cointegrated.
    Advisory Committee
  • none - chair
  • none - co-chair
  • none - advisor
  • Files
  • etd-0728104-135715.pdf
  • indicate accessible in a year
    Date of Submission 2004-07-28

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