Endogenous Trading Volume and Momentum in Stock-Return Volatility
用混合模型放松了交易量外生假设，通过信号提取和校准模拟分析交易量能否解释股票收益波动率的持续性，发现模型无法处理平方收益的序列依赖。
This article examines the ability of volume data to shed light on the source of persistence in stock-return volatility. A mixture model, in which a latent common factor restricts the joint density of volume and returns, is used to relax the assumption of exogenous volume used in previous studies. We use a point-in-time signal-extraction procedure to identify this latent process and a calibrated simulation to conduct analysis of the viability of the model to explain important properties of the data. Using daily returns and volume on individual stocks, our procedure cannot accommodate serial dependence in squared returns.