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Long memory in stock-market trading volume

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dc.affiliation.dptoUC3M. Departamento de Economíaes
dc.contributor.authorIgnacio, Lobato N.
dc.contributor.authorVelasco, Carlos
dc.date.accessioned2009-06-16T13:01:49Z
dc.date.available2009-06-16T13:01:49Z
dc.date.issued2000-10
dc.description.abstractThis article examines consistent estimation of the long-memory parameters of stock-market trading volume and volatility. The analysis is carried out in the frequency domain by tapering the data instead of detrending them. The main theoretical contribution of the article is to prove a central limit theorem for a multivariate two-step estimator of the memory parameters of a nonstationary vector process. Using robust semiparametric procedures, the long-memory properties of trading volume for the 30 stocks in the Dow Jones Industrial Average index are analyzed. Two empirical results are found. First, there is strong evidence that stock-market trading volume exhibits long memory. Second, although it is found that volatility and volume exhibit the same degree of long memory for most of the stocks, there is no evidence that both processes share the same long-memory component.
dc.description.statusPublicado
dc.format.mimetypeapplication/pdf
dc.identifier.bibliographicCitationJournal of Business and Economic Statistics. 2000, vol. 18, nº 4, p. 410-427
dc.identifier.issn0735-0015
dc.identifier.urihttps://hdl.handle.net/10016/4433
dc.language.isoeng
dc.publisherAmerican Statistical Association
dc.relation.publisherversionhttp://www.jstor.org/stable/1392223
dc.rights© American Statistical Association
dc.rights.accessRightsopen access
dc.subject.ecienciaEconomía
dc.subject.otherDetrending
dc.subject.otherLong-range dependence
dc.subject.otherNonstacionary processes
dc.subject.otherSemiparametric inference
dc.subject.otherTapering
dc.subject.otherVolatility
dc.titleLong memory in stock-market trading volume
dc.typeresearch article*
dc.type.reviewPeerReviewed
dspace.entity.typePublication
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