A spectral perspective on excess volatility
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Altres documents de l'autoria: Livan, Giacomo; Alfarano, Simone; Milakovic, Mishael; Scalas, Enrico
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A spectral perspective on excess volatilityData de publicació
2015xmlui.dri2xhtml.METS-1.0.item-edition
PreprintEditor
Taylor & FrancisCita bibliogràfica
LIVAN, Giacomo; ALFARANO, Simone; MILAKOVIC, Mishael; SCALAS, Enrico. A spectral perspective on excess volatility. Applied Economics Letters (2015) v. 22, n. 9, pp. 745-750Tipus de document
info:eu-repo/semantics/articleVersió de l'editorial
http://www.tandfonline.com/doi/full/10.1080/13504851.2014.975324Versió
info:eu-repo/semantics/submittedVersionParaules clau / Matèries
Resum
We perform a rather careful spectral analysis of the correlation structures observed in real and financial returns for a large pool of long-lived US corporations, and find that financial returns are characterized by ... [+]
We perform a rather careful spectral analysis of the correlation structures observed in real and financial returns for a large pool of long-lived US corporations, and find that financial returns are characterized by strong collective fluctuations that are absent from real returns. Once the excessive comovement is subtracted from individual financial time series, the behavior of real and financial returns is virtually identical in both the cross-sectional and time series domain, thereby demonstrating the inherently collective nature of excess volatility. Put differently, if excess volatility is to be reduced then one should probably try to inhibit excess comovement first. At any rate, the excessive behavior in volatility and comovement should not be studied in isolation of each other. [-]
Publicat a
Applied Economics Letters (2015) v. 22, n. 9Drets d'accés
http://rightsstatements.org/vocab/CNE/1.0/
info:eu-repo/semantics/openAccess
info:eu-repo/semantics/openAccess
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