Spatial Dependence in Stock Returns - Local Normalization and VaR Forecasts
نویسندگان
چکیده
منابع مشابه
Long Term Dependence in Stock Returns
We test for long term dependence in U.S. stock returns, analyzing composite and sectoral stock indices and firms' returns series to evaluate aggregation effects. Fractal dynamics are not detected in stock indices, but are present in some firms’ returns series.
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2013
ISSN: 1556-5068
DOI: 10.2139/ssrn.2320675