Publications [#313182] of S. Viswanathan

Journal Articles

1. Foster, FD; Viswanathan, S, Can speculative trading explain the volume-volatility relation?, Journal of Business and Economic Statistics, vol. 13 no. 4 (January, 1995), pp. 379-396, Informa UK Limited, ISSN 0735-0015 [doi]
   (last updated on 2026/01/15)

   Abstract:
   We derive a speculative trading model with endogenous informed trading that yields a conditionally heteroscedastic time series for trading volume and the squared price changes. We use half-hourly price-change and volume data for IBM during 1988 to test the model and estimate the structural parameters using the simulated method-of-moments estimation procedure. Although the model seems to do a reasonable job fitting the unconditional moments of the volume and the squared price change processes, it fares less well in fitting the relation between current trading volume and lags of trading volume and squared volume (and its lag’s) relation to squared price changes. © 1995 Taylor & Francis Group, LLC.