STAT244.Lecture.02 8

STAT244.Lecture.02 8 - 2 √ IZ 2 where Z ’s are unit...

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Volume-Volatility Correlation I Debate on what is information! Why do stock prices vary? I Tauchen and Pitts Model (1983) r = σ 1 IZ 1 v = μ 2 I + σ
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Unformatted text preview: 2 √ IZ 2 where Z ’s are unit normal; Note cov ( r 2 , v ) = σ 2 1 μ 2 var ( I ) > 0. I is the mixing variable....
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