A new SMAR model is introduced and fit to 2021-2025 DJIA data, finding that volatility drives trading volume and that cross-asset spillovers explain over half of volume variation at longer horizons.
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A Structural Matrix Autoregressive Model for the Joint Dynamics of Volume, Volatility, and Returns
A new SMAR model is introduced and fit to 2021-2025 DJIA data, finding that volatility drives trading volume and that cross-asset spillovers explain over half of volume variation at longer horizons.