Trading volume and realized higher-order moments in the Australian stock market
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DOI: 10.1016/j.jbef.2020.100413
Abstract: Abstract The volume-realized volatility relationship has been extensively documented in the extant financial literature. However, minimal attention has been accorded to volume-realized skewness and volume-realized kurtosis relationships. Our insight in this paper is that these… read more here.
Keywords: volume; trading; higher order; volume realized ... See more keywords