A three-stage model of the volatility-volume relation in the Junk bond market during the 2007-2008 financial crisis

Purpose The purpose of this paper is to examine the joint dynamics of volatility–volume relation in the high-yield (junk) corporate bond market during the 2007–2008 financial crisis. Design/methodology/approach The author proposes a new empirical model of three-stage equations to better estimate the volume–volatility relation that helps in alleviating three econometrical problems. In Stage 1, the author estimates the fitted values of trading...