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Bivariate Nonparametric Density Estimation of Stock Prices and Volume

Bivariate Nonparametric Density Estimation of Stock Prices and Volume This paper comprehensively investigates the joint movement of stock prices and trading volume of New York and Tokyo stock markets by undertaking nonparametric density estimation. Bivariate nonparametric density estimation has been reported as a powerful tool for revealing complicated relations between two variables. In application to finance, it is important to use a method robust for heavy-tailed densities, since the distributions of asset price changes are known to have heavy tails, and information about sudden and large price changes is contained in the tails. The empirical regularities found in this paper are mostly consistent with previous literature, but partially disagrees with the work of Gallant et al. (1992). http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Asia-Pacific Financial Markets Springer Journals

Bivariate Nonparametric Density Estimation of Stock Prices and Volume

Takada, Teruko
Asia-Pacific Financial Markets , Volume 8 (3) – Oct 9, 2004
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22 pages

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Publisher
Springer Journals
Copyright
Copyright © 2001 by Kluwer Academic Publishers
Subject
Finance; Finance, general; Macroeconomics/Monetary Economics//Financial Economics; International Economics; Econometrics; Economic Theory/Quantitative Economics/Mathematical Methods
ISSN
1387-2834
eISSN
1573-6946
DOI
10.1023/A:1016281030830
Publisher site
See Article on Publisher Site

Abstract

This paper comprehensively investigates the joint movement of stock prices and trading volume of New York and Tokyo stock markets by undertaking nonparametric density estimation. Bivariate nonparametric density estimation has been reported as a powerful tool for revealing complicated relations between two variables. In application to finance, it is important to use a method robust for heavy-tailed densities, since the distributions of asset price changes are known to have heavy tails, and information about sudden and large price changes is contained in the tails. The empirical regularities found in this paper are mostly consistent with previous literature, but partially disagrees with the work of Gallant et al. (1992).

Journal

Asia-Pacific Financial Markets – Springer Journals

Published: Oct 9, 2004

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