More stylized facts of financial markets: leverage effect and downside correlations

We discuss two more universal features of stock markets: the so-called leverage effect (a negative correlation between past returns and future volatility), and the increased downside correlations. For individual stocks, the leverage correlation can be rationalized in terms of a new ‘retarded’ model...

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Vydané v:	Physica A Ročník 299; číslo 1; s. 60 - 70
Hlavní autori:	Bouchaud, Jean-Philippe, Potters, Marc
Médium:	Journal Article
Jazyk:	English
Vydavateľské údaje:	Elsevier B.V 01.10.2001 Elsevier
Predmet:	Empirical finance Equity cross-correlations General Physics Physics Price-volatility correlations 02.50.Le Equity cross-correlations 87.23.Ge 89.65.Gh 05.45.Tp Price-volatility correlations Empirical finance
ISSN:	0378-4371, 1873-2119, 0378-4371
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