Analysis of cyclical behavior in time series of stock market returns
نویسندگان
چکیده
منابع مشابه
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با توجه به تجزیه و تحلیل داده ها ما دریافتیم که سطح درامد و تعداد نمایندگیها باتقاضای بیمه عمر رابطه مستقیم دارند و نرخ بهره و بار تکفل با تقاضای بیمه عمر رابطه عکس دارند
Asymmetric stock market volatility and the cyclical behavior of expected returns
Recent explanations of aggregate stock market fluctuations suggest that countercyclical stock market volatility is consistent with rational asset evaluations. In this paper, I develop a framework to study the causes of countercyclical stock market volatility. I find that countercyclical risk premia do not imply countercyclical return volatility. Instead, countercyclical stock volatility occurs ...
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ژورنال
عنوان ژورنال: Communications in Nonlinear Science and Numerical Simulation
سال: 2018
ISSN: 1007-5704
DOI: 10.1016/j.cnsns.2017.05.009