Leverage effect in financial markets: the retarded volatility model

We investigate quantitatively the so-called "leverage effect," which corresponds to a negative correlation between past returns and future volatility. For individual stocks this correlation is moderate and decays over 50 days, while for stock indices it is much stronger but decays faster....

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Bibliographic Details

Published in:	Physical review letters Vol. 87; no. 22; p. 228701
Main Authors:	Bouchaud, J P, Matacz, A, Potters, M
Format:	Journal Article
Language:	English
Published:	United States 26.11.2001
ISSN:	0031-9007
Online Access:	Get more information
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