The angular distribution of asset returns in delay space
نویسندگان
چکیده
منابع مشابه
The Angular Distribution of Asset Returns in Delay Space
We develop and apply a set of hypothesis tests with which to study changes in the angular distribution of points in delay space. Crack and Ledoit (1996) plotted daily stock returns against themselves with one day's lag. (This might be described as a plot in \delay space"). The graph shows these points collected along several rays from the origin. They correctly attribute this \compass rose" pat...
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ژورنال
عنوان ژورنال: Discrete Dynamics in Nature and Society
سال: 2001
ISSN: 1026-0226,1607-887X
DOI: 10.1155/s1026022601000115