  Fundamental variables in financial market are not only price and return but a
very important role is also played by trading volumes. Here we propose a new
multivariate model that takes into account price returns, logarithmic variation
of trading volumes and also waiting times, the latter to be intended as the
time interval between changes in trades, price, and volume of stocks. Our
approach is based on a generalization of semi-Markov chains where an endogenous
index process is introduced. We also take into account the dependence structure
between the above mentioned variables by means of copulae. The proposed model
is motivated by empirical evidences which are known in financial literature and
that are also confirmed in this work by analysing real data from Italian stock
market in the period August 2015 - August 2017. By using Monte Carlo
simulations, we show that the model reproduces all these empirical evidences.
