A spectral perspective on excess volatility
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Título
A spectral perspective on excess volatilityFecha de publicación
2015xmlui.dri2xhtml.METS-1.0.item-edition
PreprintEditor
Taylor & FrancisCita bibliográfica
LIVAN, Giacomo; ALFARANO, Simone; MILAKOVIC, Mishael; SCALAS, Enrico. A spectral perspective on excess volatility. Applied Economics Letters (2015) v. 22, n. 9, pp. 745-750Tipo de documento
info:eu-repo/semantics/articleVersión de la editorial
http://www.tandfonline.com/doi/full/10.1080/13504851.2014.975324Versión
info:eu-repo/semantics/submittedVersionPalabras clave / Materias
Resumen
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. [-]
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Applied Economics Letters (2015) v. 22, n. 9Derechos de acceso
http://rightsstatements.org/vocab/CNE/1.0/
info:eu-repo/semantics/openAccess
info:eu-repo/semantics/openAccess
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