The Dependence of Prices and Volume

Investigating Causal Relations by Econometric Models and Cross-Spectral Methods

2010 • 3,086 citations

A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices

1973 • 2,868 citations

The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for the Mixture-of-Distributions Hypothesis

1976 • 967 citations

A MODEL OF ASSET TRADING UNDER THE ASSUMPTION OF SEQUENTIAL INFORMATION ARRIVAL*

1976 • 635 citations

Causality in temporal systems

1977 • 617 citations

Checking the Independence of Two Covariance-Stationary Time Series: A Univariate Residual Cross-Correlation Approach

1976 • 435 citations

Stock Market Prices and Volumes of Sales

1966 • 275 citations

The Volume of Transactions and Price Changes on the New York Stock Exchange

1970 • 155 citations

A Nonlinear Test of the Random-Walk Hypothesis

2016 • 60 citations