Publications [#238031] of Tim Bollerslev

Journal Articles

1. Bollerslev, T; Jubinski, D, Equity trading volume and volatility: Latent information arrivals and common long-run dependencies, Journal of Business and Economic Statistics, vol. 17 no. 1 (January, 1999), pp. 9-21, Informa UK Limited [repository], [doi]
   (last updated on 2024/04/18)

   Abstract:
   This article examines the behavior of equity trading volume and volatility for the individual firms composing the Standard and Poor's 100 composite index. Using multivariate spectral methods, we find that fractionally integrated processes best describe the long-run temporal dependencies in both series. Consistent with a stylized mixture-of-distributions hypothesis model in which the aggregate “news”-arrival process possesses long-memory characteristics, the long-run hyperbolic decay rates appear to be common across each volume-volatility pair. © 1999 Taylor & Francis Group, LLC.