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Physica A: Statistical Mechanics and its Applications

Volumn 299, Issue 1-2, 2001, Pages 60-70

More stylized facts of financial markets: Leverage effect and downside correlations

(2) Bouchaud, Jean Philippe a,b Potters, Marc b

a SERVICE DE PHYSIQUE DE L ETAT CONDENSÉ (France)

b Science and Finance (France)

Author keywords

Empirical finance; Equity cross correlations; Price volatility correlations

Indexed keywords

CORRELATION METHODS; FINANCE; INTERPOLATION; MATHEMATICAL MODELS; RANDOM PROCESSES;

FINANCIAL MARKETS;

INTERNATIONAL TRADE;

EID: 0035472159 PISSN: 03784371 EISSN: None Source Type: Journal
DOI: 10.1016/S0378-4371(01)00282-5 Document Type: Conference Paper

Times cited : (64)

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