Volume, volatility, and leverage: A dynamic analysis

A-Tier

Journal: Journal of Econometrics

Year: 1996

Volume: 74

Issue: 1

Pages: 177-208

Authors (3)

Tauchen, George (Duke University) Zhang, Harold (Shanghai Jiao Tong University) Liu, Ming (not in RePEc)

Score contribution per author:

1.341 = (α=2.01 / 3 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count