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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...
| Autores principales: | , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
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Public Library of Science
2014
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| 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 |