Principal regression analysis and the index leverage effect

Physica A: Statistical Mechanics and its Applications

Volumn 390, Issue 17, 2011, Pages 3026-3035

  Reigneron, Pierre Alain ^a   Allez, Romain ^a   Bouchaud, Jean Philippe ^a  

^a Capital Fund Management   (France)

Author keywords

Index leverage effect; Random matrix theory

Indexed keywords

COMMERCE; EIGENVALUES AND EIGENFUNCTIONS; MATRIX ALGEBRA; RANDOM VARIABLES;

CONDITIONAL CORRELATION; CORRELATION EFFECT; LEVERAGE EFFECTS; NUMERICAL BENCHMARK; RANDOM MATRIX THEORY; TWO TIME SCALE; UPWARD TREND; VOLATILITY EFFECTS;

REGRESSION ANALYSIS;

EID: 79958015007     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2011.04.007     Document Type: Article

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