haku: @freeterm correlation / yhteensä: 3
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Tekijä: | Andersen, T. G. (et al.) |
Otsikko: | The distribution of realized stock return volatility |
Lehti: | Journal of Financial Economics
2001 : JUL, VOL. 61:1, p. 43-76 |
Asiasana: | STOCK MARKETS STOCK RETURNS VOLATILITY |
Vapaa asiasana: | CORRELATION |
Kieli: | eng |
Tiivistelmä: | The authors examine "realized" daily equity return volatilities and correlations obtained from high-frequency intraday transaction prices on individual stocks in the Dow Jones Industrial Average. The authors find that the unconditional distributions of realized variances and covariances are highly right-skewed, while the realized logarithmic standard deviations and correlations are approximately Gaussian, as are the distributions of the returns scaled by realized standard deviations. |
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