A0421
Title: A structural matrix autoregressive model for volatility, volume, jumps and returns
Authors: Andrea Bucci - University of Macerata (Italy) [presenting]
Giulio Palomba - Marche Polytechnic University (Italy)
Eduardo Rossi - University of Pavia (Italy)
Abstract: The aim is to investigate commonalities between daily traded volumes, returns, volatility, and jumps. The approach relies on a structural matrix-variate model to potentially account for cross-variables and cross-asset spillovers simultaneously. A full identification is provided for the cross-variables structural relationships based on the financial theory, and the model is applied to 50 assets from the S\&P 500 index. The results indicate that jumps positively affect the other variables and that volatility severely affects trading volumes.
