stock prices and volume a. ronald gallant; peter e. rossi; george

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Stock Prices and Volume A. Ronald Gallant; Peter E. Rossi; George Tauchen The Review of Financial Studies, Vol. 5, No. 2. (1992), pp. 199-242. Stable URL: http://links.jstor.org/sici?sici=0893-9454%281992%295%3A2%3C199%3ASPAV%3E2.0.CO%3B2-Y The Review of Financial Studies is currently published by Oxford University Press. Your use of the JSTOR archive indicates your acceptance of JSTOR's Terms and Conditions of Use, available at http://www.jstor.org/about/terms.html. JSTOR's Terms and Conditions of Use provides, in part, that unless you have obtained prior permission, you may not download an entire issue of a journal or multiple copies of articles, and you may use content in the JSTOR archive only for your personal, non-commercial use. Please contact the publisher regarding any further use of this work. Publisher contact information may be obtained at http://www.jstor.org/journals/oup.html. Each copy of any part of a JSTOR transmission must contain the same copyright notice that appears on the screen or printed page of such transmission. JSTOR is an independent not-for-profit organization dedicated to and preserving a digital archive of scholarly journals. For more information regarding JSTOR, please contact [email protected]. http://www.jstor.org Thu Mar 15 12:32:36 2007

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Page 1: Stock Prices and Volume A. Ronald Gallant; Peter E. Rossi; George

Stock Prices and Volume

A. Ronald Gallant; Peter E. Rossi; George Tauchen

The Review of Financial Studies, Vol. 5, No. 2. (1992), pp. 199-242.

Stable URL:

http://links.jstor.org/sici?sici=0893-9454%281992%295%3A2%3C199%3ASPAV%3E2.0.CO%3B2-Y

The Review of Financial Studies is currently published by Oxford University Press.

Your use of the JSTOR archive indicates your acceptance of JSTOR's Terms and Conditions of Use, available athttp://www.jstor.org/about/terms.html. JSTOR's Terms and Conditions of Use provides, in part, that unless you have obtainedprior permission, you may not download an entire issue of a journal or multiple copies of articles, and you may use content inthe JSTOR archive only for your personal, non-commercial use.

Please contact the publisher regarding any further use of this work. Publisher contact information may be obtained athttp://www.jstor.org/journals/oup.html.

Each copy of any part of a JSTOR transmission must contain the same copyright notice that appears on the screen or printedpage of such transmission.

JSTOR is an independent not-for-profit organization dedicated to and preserving a digital archive of scholarly journals. Formore information regarding JSTOR, please contact [email protected].

http://www.jstor.orgThu Mar 15 12:32:36 2007

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You have printed the following article:

Stock Prices and VolumeA. Ronald Gallant; Peter E. Rossi; George TauchenThe Review of Financial Studies, Vol. 5, No. 2. (1992), pp. 199-242.Stable URL:

http://links.jstor.org/sici?sici=0893-9454%281992%295%3A2%3C199%3ASPAV%3E2.0.CO%3B2-Y

This article references the following linked citations. If you are trying to access articles from anoff-campus location, you may be required to first logon via your library web site to access JSTOR. Pleasevisit your library's website or contact a librarian to learn about options for remote access to JSTOR.

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A Theory of Intraday Patterns: Volume and Price VariabilityAnat R. Admati; Paul PfleidererThe Review of Financial Studies, Vol. 1, No. 1. (Spring, 1988), pp. 3-40.Stable URL:

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Divide and Conquer: A Theory of Intraday and Day-of-the-Week Mean EffectsAnat R. Admati; Paul PfleidererThe Review of Financial Studies, Vol. 2, No. 2. (1989), pp. 189-223.Stable URL:

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A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates ofReturnTim BollerslevThe Review of Economics and Statistics, Vol. 69, No. 3. (Aug., 1987), pp. 542-547.Stable URL:

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A Subordinated Stochastic Process Model with Finite Variance for Speculative PricesPeter K. ClarkEconometrica, Vol. 41, No. 1. (Jan., 1973), pp. 135-155.Stable URL:

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Variance Function EstimationM. Davidian; R. J. CarrollJournal of the American Statistical Association, Vol. 82, No. 400. (Dec., 1987), pp. 1079-1091.Stable URL:

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Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of UnitedKingdom InflationRobert F. EngleEconometrica, Vol. 50, No. 4. (Jul., 1982), pp. 987-1007.Stable URL:

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Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: AssetPricing ApplicationsA. Ronald Gallant; George TauchenEconometrica, Vol. 57, No. 5. (Sep., 1989), pp. 1091-1120.Stable URL:

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Page 48: Stock Prices and Volume A. Ronald Gallant; Peter E. Rossi; George

Implications of Security Market Data for Models of Dynamic EconomiesLars Peter Hansen; Ravi JagannathanThe Journal of Political Economy, Vol. 99, No. 2. (Apr., 1991), pp. 225-262.Stable URL:

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Cross-Security Tests of the Mixture of Distributions HypothesisLawrence HarrisThe Journal of Financial and Quantitative Analysis, Vol. 21, No. 1. (Mar., 1986), pp. 39-46.Stable URL:

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A Dynamic Equilibrium Model of Asset Prices and Transaction VolumeGregory W. HuffmanThe Journal of Political Economy, Vol. 95, No. 1. (Feb., 1987), pp. 138-159.Stable URL:

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Expectations and Volatility of Consumption and Asset ReturnsShmuel Kandel; Robert F. StambaughThe Review of Financial Studies, Vol. 3, No. 2. (1990), pp. 207-232.Stable URL:

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The Relation Between Price Changes and Trading Volume: A SurveyJonathan M. KarpoffThe Journal of Financial and Quantitative Analysis, Vol. 22, No. 1. (Mar., 1987), pp. 109-126.Stable URL:

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Heteroskedasticity in Stock Return Data: Volume versus GARCH EffectsChristopher G. Lamoureux; William D. LastrapesThe Journal of Finance, Vol. 45, No. 1. (Mar., 1990), pp. 221-229.Stable URL:

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Stock Market Prices do not Follow Random Walks: Evidence from a Simple Specification TestAndrew W. Lo; A. Craig MacKinlayThe Review of Financial Studies, Vol. 1, No. 1. (Spring, 1988), pp. 41-66.Stable URL:

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An Intertemporal Capital Asset Pricing ModelRobert C. MertonEconometrica, Vol. 41, No. 5. (Sep., 1973), pp. 867-887.Stable URL:

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Stock Volatility and the Crash of '87G. William SchwertThe Review of Financial Studies, Vol. 3, No. 1, National Bureau of Economic Research Conference:Stock Market Volatility and the Crash, Dorado Beach, March 16-18, 1989. (1990), pp. 77-102.Stable URL:

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Quadrature-Based Methods for Obtaining Approximate Solutions to Nonlinear Asset PricingModelsGeorge Tauchen; Robert HusseyEconometrica, Vol. 59, No. 2. (Mar., 1991), pp. 371-396.Stable URL:

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The Price Variability-Volume Relationship on Speculative MarketsGeorge E. Tauchen; Mark PittsEconometrica, Vol. 51, No. 2. (Mar., 1983), pp. 485-505.Stable URL:

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Using Least Squares to Approximate Unknown Regression FunctionsHalbert WhiteInternational Economic Review, Vol. 21, No. 1. (Feb., 1980), pp. 149-170.Stable URL:

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