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- W2381392468 abstract "In this paper,we study the dynamic impact of price change on volume duration in different period of Chinese stock market,based on Log-ACD model and a kind of nonparametric model.We also find that different threshold values may cause different statistical properties of volume duration,the long memory of the duration process become weaker when the threshold value increase.Furthermore,we give some new theoretical result.We introduce a new parameter estimation method of Log-ACD model,and give a Wald test statistic for the linear restrictions on parameters." @default.
- W2381392468 created "2016-06-24" @default.
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- W2381392468 date "2010-01-01" @default.
- W2381392468 modified "2023-09-25" @default.
- W2381392468 title "Dynamic Relationships of Volume Duration and Price Change" @default.
- W2381392468 hasPublicationYear "2010" @default.
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