Cross-Correlation Asymmetries and Causal Relationships between Stock and Market Risk

We study historical correlations and lead-lag relationships between individual stock risk (volatility of daily stock returns) and market risk (volatility of daily returns of a market-representative portfolio) in the US stock market. We consider the cross-correlation functions averaged over all stock...

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Detalles Bibliográficos
Autores principales: Borysov, Stanislav S., Balatsky, Alexander V.
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Public Library of Science 2014
Materias:
Research Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC4146561/
https://www.ncbi.nlm.nih.gov/pubmed/25162697
http://dx.doi.org/10.1371/journal.pone.0105874

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC4146561/
https://www.ncbi.nlm.nih.gov/pubmed/25162697
http://dx.doi.org/10.1371/journal.pone.0105874

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