A spectral perspective on excess volatility
View/ Open
Impact
Scholar |
Other documents of the author: Livan, Giacomo; Alfarano, Simone; Milakovic, Mishael; Scalas, Enrico
Metadata
Show full item recordcomunitat-uji-handle:10234/9
comunitat-uji-handle2:10234/8643
comunitat-uji-handle3:10234/8644
comunitat-uji-handle4:
INVESTIGACIONMetadata
Title
A spectral perspective on excess volatilityDate
2015xmlui.dri2xhtml.METS-1.0.item-edition
PreprintPublisher
Taylor & FrancisBibliographic citation
LIVAN, Giacomo; ALFARANO, Simone; MILAKOVIC, Mishael; SCALAS, Enrico. A spectral perspective on excess volatility. Applied Economics Letters (2015) v. 22, n. 9, pp. 745-750Type
info:eu-repo/semantics/articlePublisher version
http://www.tandfonline.com/doi/full/10.1080/13504851.2014.975324Version
info:eu-repo/semantics/submittedVersionSubject
Abstract
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. [-]
Is part of
Applied Economics Letters (2015) v. 22, n. 9Rights
http://rightsstatements.org/vocab/CNE/1.0/
info:eu-repo/semantics/openAccess
info:eu-repo/semantics/openAccess
This item appears in the folowing collection(s)
- ECO_Articles [692]