The Testing of Causal Stock Returns-Trading Volume Dependencies with the Aid of Copulas
This paper is concerned with a dependence analysis of returns, return volatility and trading volume for five companies listed on the Vienna Stock Exchange. Taking into account the high frequency data for these companies, tests based on a comparison of Bernstein copula densities using the Hellinger d...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
AGH UNIVERSITY PRESS
2013-04-01
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| Series: | Managerial Economics |
| Subjects: | |
| Online Access: | https://journals.agh.edu.pl/manage/article/view/592 |
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