A Direct Test of the Mixture of Distributions Hypothesis: Measuring the Daily Flow of Information
直接检验了股票价格的混合分布模型，利用价格变化和交易量的双变量条件正态性，在弱假设下检验模型限制，并估计了不可观测信息流的关键参数。
This paper proposes and conducts direct tests of the mixture of distributions model for stock prices. By exploiting the model's bivariate conditional normality of price changes and trading volume, these restrictions can be tested under very weak assumptions regarding the daily flow of information to the market. As a technical by product, important parameters governing the distribution of this unobservable information flow are estimated.