ENGLE R. Autoregressive conditional heteroskedasticity with estimates of the variance of UK inflation [J]. Econometrica, 1982.987-1008.
[2]
CLARK P K. A subordinated stochastic process model with finite variance for speculative price [J]. Econometrica, 1973.135-156.doi:10.2307/1913889.
[3]
TAUCHEN G, PITTS M. The price variability-volume relationship on speculative markets [J]. Econometrica, 1983.485-505.
[4]
LAMOUREUX C, LASTRAPES W D. Heteroskedasticity in stock return data:Volume versus GARCH effects [J]. Journal of Finance, 1990.221-229.
[5]
RAJEN M, 俞乔. An empirical analysis of the equity markets in China [J]. Review of Financial Economics, 1999(1):41-60.
[6]
BOLLERSLEV T A. Generalized autoregressive conditional heteroskedasticity [J]. Journal of Econometrics, 1986.307-327.
[7]
HE H, WANG J. Differential information and dynamics behavior of stock trading volume and price volatility [J]. Review of Financial Studies, 1995.919-972.
[8]
HARRIS L. Cross-security tests of the mixture of distribution hypothesis [J]. Journal of Financial and Quantitative Analysis, 1986(1):109-126.
[9]
AADERSON T G. Return volatility and trading volume:An information flow interpretation of stochastic volatility [J]. Journal of Finance, 1996.169-204.
[10]
LEE C F, CHEN G M, RUI O. Stock returns and volatility on China’s stock markets [J]. Journal of Financial Research, 2001.523-534.
