Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/104914
Authors: 
Liesenfeld, Roman
Year of Publication: 
1996
Series/Report no.: 
Tübinger Diskussionsbeiträge 78
Abstract: 
Bivariate mixture models have been used to explain the stochastic behavior of daily price changes and trading volume on fmancial markets. In this class of models price changes and volume follow a mixture of bivariate distributions with the unobservable number of price relevant information serving as the mixing variable. The time series behavior of this mi-xing variable determines the dynamics of the price-volume system. In this paper, bivariate mixture specifications with a serially correlated mixing variable are estimated by simula-ted maximum likelihood and analyzed concerning their ability to account for the observed dynamics on financial markets, especially the persistence in the variance of price changes. The results based on German stock market data reveal that the dynamic bivariate mixture models cannot account for the persistence in the price change variance.
Document Type: 
Working Paper

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