A Level Set Analysis and A Nonparametric Regression on S&P 500 Daily Return
نویسندگان
چکیده
منابع مشابه
A Level Set Analysis and A Nonparametric Regression on S&P 500 Daily Return
In this paper, a level set analysis is proposed which aims to analyze the S&P 500 return with a certain magnitude. It is found that the process of large jumps/drops of return tend to have negative serial correlation, and volatility clustering phenomenon can be easily seen. Then, a nonparametric analysis is performed and new patterns are discovered. An ARCH model is constructed based on the patt...
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ژورنال
عنوان ژورنال: International Journal of Financial Studies
سال: 2016
ISSN: 2227-7072
DOI: 10.3390/ijfs4010003