Asset returns and volatility clustering in financial time series
نویسندگان
چکیده
منابع مشابه
Asset returns and volatility clustering in financial time series
An analysis of the stylized facts in financial time series is carried out. We find that, instead of the heavy tails in asset return distributions, the slow decay behaviour in autocorrelation functions of absolute returns is actually directly related to the degree of clustering of large fluctuations within the financial time series. We also introduce an index to quantitatively measure the cluste...
متن کاملFinancial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics
W consider three sets of phenomena that feature prominently in the financial economics literature: (1) conditional mean dependence (or lack thereof) in asset returns, (2) dependence (and hence forecastability) in asset return signs, and (3) dependence (and hence forecastability) in asset return volatilities. We show that they are very much interrelated and explore the relationships in detail. A...
متن کاملThe News in Financial Asset Returns
Federal Reserve Bank of Atlanta E C O N O M I C R E V I E W First Quarter 2004 A re returns on financial markets useful for predicting the future course of the economy? It is widely thought that financial markets’ movements reflect the economy’s future and that finding the message in financial asset returns is one way to discern this future. The message is not always clear, though. For example,...
متن کاملFinancial Innovation and Asset Price Volatility
We compare asset prices in an overlapping generations model for incomplete and complete markets. Individuals within a generational cohort have heterogeneous beliefs about future states of the economy and thus would like to make bets against each other. In the incomplete-markets economy, agents cannot make such bets. Asset price volatility is very small. The situation changes dramatically when m...
متن کاملVolatility clustering and scaling for financial time series due to attractor bubbling.
A microscopic model of financial markets is considered, consisting of many interacting agents (spins) with global coupling and discrete-time heat bath dynamics, similar to random Ising systems. The interactions between agents change randomly in time. In the thermodynamic limit, the obtained time series of price returns show chaotic bursts resulting from the emergence of attractor bubbling or on...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Physica A: Statistical Mechanics and its Applications
سال: 2011
ISSN: 0378-4371
DOI: 10.1016/j.physa.2010.12.002