haku: @indexterm autocorrelation / yhteensä: 12
viite: 10 / 12
| Tekijä: | Booth, G. Koutmos, G. |
| Otsikko: | Volatility and autocorrelation in major European stock markets |
| Lehti: | European Journal of Finance
1998 : MAR, VOL. 4:1, p. 61-74 |
| Asiasana: | VOLATILITY STOCK MARKETS AUTOCORRELATION |
| Kieli: | eng |
| Tiivistelmä: | This paper models index stock returns for four major European stock markets as conditionally heteroskedastic processes with time dependent serial correlation. The evidence suggests that current returns in these markets are nonlinearly dependent on their past history. The dependence is strong during calm periods and weak during volatile periods and manifests itself as an inverse relationship between first order autocorrelations and volatility. While this relationship is statistically significant in daily returns, it is absent from weekly returns. |
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