Skewness, long-time memory, and non-stationarity: Application to leverage effect in financial time series

EPL

Volumn 84, Issue 2, 2008, Pages

  Roman, H E ^a   Porto, M ^b   Dose, C ^c  

^a UNIVERSITY OF MILANO BICOCCA   (Italy)

^b DARMSTADT UNIVERSITY OF TECHNOLOGY   (Germany)

^c HEWLETT PACKARD COMPANY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 79051470682     PISSN: 02955075     EISSN: 12864854     Source Type: Journal    
DOI: 10.1209/0295-5075/84/28001     Document Type: Article

References (16)

1. Black F. 1976 Studies of stock price volatility, Proceedings of the 1976 Meetings of the American Statistical Association, Business and Economic Statistics Section (: American Statistical Society) 177-181
2. Bouchaud J. P., Matacz A. and Potters M. 2001 Phys. Rev. Lett. 87 228701
3. Giraitis L., Leipus R., Robinson P. M. and Surgailis D. 2004 J. Financ. Econom. 2 177
4. Ahlgren P. T. H., Jensen M. H., Simonsen I., Donangelo R. and Sneppen K. 2007 Physica A 383 1
5. Masoliver J. and Perelló J. 2006 Quant. Finance 6 423
6. Ruiz E. and Veiga H. 2008 Comput. Stat. Data Anal. 52 2846
7. Baillie R. T., Bollerslev T. and Mikkelsen H. O. 1996 J. Econom. 74 3
8. Zumbach G. 2004 Quant. Finance 4 70
9. Tang T.-L. and Shieh S.-J. 2006 Physica A 366 437
10. Lobato I. N. and Sav N. E. 1998 J. Bus. Econ. Stat. 16 261
11. McCauley J. L., Gunaratne G. H. and Bassler K. E. 2007 Physica A 379 1
12. Roman H. E. and Porto M. 2008 Int. J. Pure Appl. Math. 42 249
13. Borland L., Bouchaud J. P., Muzy J.-F. and Zumbach G. arXiv:cond-mat/0501292
14. Downloaded from http://finance.yahoo.com/
15. Engle R. 1995 ARCH Selected Readings (Oxford: Oxford University)
16. Roman H. E. and Porto M. 2008 to be published in Phys. Rev. E arxiv:0806.3171