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Forecasting conditional volatility of returns by using the relationship among returns, trading volume, and open interest in commodity futures markets

机译：通过使用商品期货市场中的收益，交易量和未平仓合约之间的关系预测收益的条件波动率

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作者
Lee, Sang-Hak;
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作者单位

Purdue University;

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授予单位 Purdue University;
学科
学位 Ph.D.
年度 2005
页码 259 p.
总页数 259
原文格式 PDF
正文语种 eng
中图分类
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专利

1. The empirical linkages among market returns, return volatility, and trading volume: Evidence from the S&P 500 VIX Futures [J] . Kao Yu-Sheng, Chuang Hwei-Lin, Ku Yu-Cheng The North American journal of economics and finance . 2020,第Nova期

机译：市场回报的实证联系，返回波动和交易量：来自标准普尔500指数的证据
2. Causal and Dynamic Relationships among Stock Returns, Return Volatility and Trading Volume: Evidence from Emerging markets in South-East Asia [J] . Anirut Pisedtasalasai, Abeyratna Gunasekarage Asia-Pacific Financial Markets . 2007,第4期

机译：股票收益，收益波动率和交易量之间的因果关系和动态关系：来自东南亚新兴市场的证据
3. The Dynamic Relations Among Return Volatility, Trading Imbalance, And Trading Volume In Futures Markets [J] . An-Sing Chen, Hung-Gay Fung, Erin H.C. Kao Mathematics and computers in simulation . 2008,第3期

机译：期货市场收益波动率，交易失衡与交易量之间的动态关系
4. The Dynamic Relationship Among Return,Volatility and Trading Volume in China Stock Market——An Empirical Study Based on Quantile Regression [C] . DAN Li, YUAN Zhao, ZHONG Weizhou Proceedings of the sixth international symposium of corporate governance . 2011

机译：中国股票市场收益率，波动率与交易量之间的动态关系-基于分位数回归的实证研究
5. Standard & Poor's spot returns vs Standard & Poor's 500 Future returns: A comparative analysis of the impact of trading volume on the U.S. stock market indices during the 2008 economic recession. [D] . Stroud, Joseph. 2015

机译：标准普尔的即期回报与标准普尔500的未来回报：2008年经济衰退期间交易量对美国股票市场指数的影响的比较分析。
6. Dynamic relationships between industry returns and stock market returns [O] . Chien-Chiang Lee, Mei-Ping Chen, Chi-Hung Chang -1

机译：行业收益与股票市场收益之间的动态关系
7. Do Stock Markets Catch the Flu? We examine the impact of influenza on the U.S. stock market. A higher incidence of flu is associated with decreased trading, decreased volatility, and higher bid-ask spreads. We also find some evidence that more flu implies lower stock returns. Consistent with the flu affecting institutional investors and market-makers, the decrease in trading activity and volatility is primarily driven by the incidence of influenza in the greater New York City area. However, the effect of the flu on bid-ask spreads and returns is driven by the incidence of flu nationally. We provide estimates of the potential impacts of a pandemic on equity returns. [O] . Yiuman Tse, Brian C. McTier, John K. Wald 100

机译：股市是否会引发流感？我们研究了流感对美国股市的影响。流感发病率较高与交易减少，波动性降低和买卖差价较高有关。我们还发现一些证据表明，更多流感意味着股票收益率下降与影响机构投资者和做市商的流感一致，交易活动和波动性的下降主要是由于纽约市大区的流感发病率所致。然而，流感对买卖差价和回报的影响是由全国流感的发生率所驱动的。我们提供了大流行对股权回报的潜在影响的估计。

Forecasting conditional volatility of returns by using the relationship among returns, trading volume, and open interest in commodity futures markets

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