| dc.contributor.advisor | Kearney, Colm | |
| dc.contributor.author | Carroll, Rachel | |
| dc.date.accessioned | 2017-01-18T10:50:34Z | |
| dc.date.available | 2017-01-18T10:50:34Z | |
| dc.date.issued | 2012 | |
| dc.identifier.citation | Rachel Carroll, 'GARCH modelling of the volume-volatility relation in equity markets', [thesis], Trinity College (Dublin, Ireland). Trinity Business School, 2012, pp 312 | |
| dc.identifier.other | THESIS 9729 | |
| dc.description.abstract | The mixture of distributions hypothesis (MDH) provides a theoretical explanation for the existence of a positive volume-volatility relationship. According to this hypothesis, both volume and volatility are driven by a common latent variable, the arrival of information to the market. The MDH implies that the correlation between trading volume and return volatility tends to rise with increases in the variance of the daily rate of information flow to the market. | |
| dc.format | 1 volume | |
| dc.language.iso | en | |
| dc.publisher | Trinity College (Dublin, Ireland). Trinity Business School | |
| dc.relation.isversionof | http://stella.catalogue.tcd.ie/iii/encore/record/C__Rb15157522 | |
| dc.subject | Business, Ph.D. | |
| dc.subject | Ph.D. Trinity College Dublin | |
| dc.title | GARCH modelling of the volume-volatility relation in equity markets | |
| dc.type | thesis | |
| dc.type.supercollection | thesis_dissertations | |
| dc.type.supercollection | refereed_publications | |
| dc.type.qualificationlevel | Doctoral | |
| dc.type.qualificationname | Doctor of Philosophy (Ph.D.) | |
| dc.rights.ecaccessrights | openAccess | |
| dc.format.extentpagination | pp 312 | |
| dc.description.note | TARA (Trinity’s Access to Research Archive) has a robust takedown policy. Please contact us if you have any concerns: rssadmin@tcd.ie | |
| dc.identifier.uri | http://hdl.handle.net/2262/78839 | |
