Zobrazeno 1 - 10
of 33
pro vyhledávání: '"LeBaron effect"'
We study the relation between serial correlation of financial returns and volatility at intraday level for the S&P500 stock index. At daily and weekly level, serial correlation and volatility are known to be negatively correlated (LeBaron effect). Wh
Externí odkaz:
http://arxiv.org/abs/0810.4912
Autor:
Ely, Regis Augusto1 regis.ely@ufpel.edu.br
Publikováno v:
Brazilian Review of Finance / Revista Brasileira de Finanças. Mar2014, Vol. 12 Issue 1, p13-39. 27p.
Autor:
Regis Augusto Ely
Publikováno v:
Revista Brasileira de Finanças, Vol 12, Iss 1, Pp 13-39 (2014)
This paper examines the relation between serial correlation and volatility of the Ibovespa index returns and extends the empirical evidence of the LeBaron effect for higher orders of serial correlation. We employ an exponential general autoregressive
Externí odkaz:
https://doaj.org/article/fbe7183219e144baaa27f9ae1b663e05
Autor:
Simone Bianco, Roberto Renò
According to the LeBaron effect, serial correlation is low when volatility is high and vice-versa. We show that it is true only for the predictable part of the volatility, while volatility which cannot be forecasted is positively linked to serial cor
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::28f05ea96a120edfaec81115803b8ed5
http://hdl.handle.net/11365/34442
http://hdl.handle.net/11365/34442
Conference
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Autor:
Bianco, Simone1 (AUTHOR), Renò, Roberto2 (AUTHOR) reno@unisi.it
Publikováno v:
Quantitative Finance. Jun2009, Vol. 9 Issue 4, p465-475. 11p. 9 Charts, 2 Graphs.
Publikováno v:
Communications in Statistics: Simulation & Computation; 2016, Vol. 45 Issue 4, p1226-1239, 14p
Publikováno v:
Proceedings of the National Academy of Sciences of the United States of America; 7/14/2009, Vol. 106 Issue 28, p11439-11443, 5p, 1 Chart, 3 Graphs
Autor:
Arnerić, Josip1 jarneric@efzg.hr, Matković, Mario2 mmatkic@hotmail.com
Publikováno v:
Proceedings of Rijeka Faculty of Economics: Journal of Economics & Business. 2019, Vol. 37 Issue 2, p713-739. 27p.
Autor:
Bianco, Simone, Renó, Roberto
We study the impact of volatility on intraday serial correlation, at time scales of less than 20 minutes, exploiting a data set with all transaction on SPX500 futures from 1993 to 2001. We show that, while realized volatility and intraday serial corr
Externí odkaz:
http://arxiv.org/abs/physics/0610023