12.B REFERENCES

Admati A.R.; Pfleiderer P. (1988) “A theory of intraday patterns: Volume and price variability,” Review of Financial Studies, 1, 3–40.

Andersen T.G. (1996) “Return volatility and trading volume: An information flow interpretation of stochastic volatility,” Journal of Finance, 51, 169–204.

Andrews D.W.K. (1993) “Tests for parameter instability and structural change with unknown change point,” Econometrica, 61, 821–856.

Andrews D.W.K.; Ploberger W. (1994) “Optimal tests when a nuisance parameter is present only under the alternative,” Econometrica, 62, 1383–1414.

Ané T.; Geman H. (2000) “Order flow, transaction clock, and normality of asset returns,” Journal of Finance, 55, 2259–2284.

Asai M.; McAleer M.; Yu J. (2006) “Multivariate stochastic volatility: A review,” Econometric Reviews, 25, 145–175.

Barclay M.J.; Warner J.B. (1993) “Stealth trading and volatility: Which trades move prices?” Journal of Financial Economics, 34, 281–305.

Bauwens L.; Laurent S.; Rombouts J.V.K. (2006) “Multivariate GARCH: A survey,” Journal of Applied Econometrics, 21, 79–109.

Berry T.D.; Howe K.M. (1994) “Public information arrival,” Journal of Finance, 49, 1331–1346.

Bessembinder H.; Chan K.; Seguin P.J. (1996) “An empirical examination of information, differences of opinion, and trading activity,” Journal of Financial Economics, 40, 105–134.

Blume L.; Easley D.; O'Hara M. (1994) “Market statistics and technical analysis: The role of volume,” Journal of Finance, 49, 153–181.

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