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Measuring time dependent volatility and cross-sectional correlation in Australian equity returns

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  • Bertram, William K.
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    Abstract

    In this study we examine the time-dependent nature of volatility and cross-correlation of Australian equity returns data. Volatility and correlation estimates are calculated using methods that allow for non-stationary behaviour. By averaging the estimates across the entire data set we show that the correlation in ASX stock returns displays evidence of significant time-dependent behaviour. We also find that the volatility estimates do not display similar non-stationary patterns.

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    File URL: http://www.sciencedirect.com/science/article/pii/S0378437108001374
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    Bibliographic Info

    Article provided by Elsevier in its journal Physica A: Statistical Mechanics and its Applications.

    Volume (Year): 387 (2008)
    Issue (Month): 13 ()
    Pages: 3183-3191

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    Handle: RePEc:eee:phsmap:v:387:y:2008:i:13:p:3183-3191

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    Web page: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/

    Related research

    Keywords: Econophysics; Time-series analysis; Non-stationarity; Correlation;

    References

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    Cited by:
    1. Yang, Honglin & Wan, Hong & Zha, Yong, 2013. "Autocorrelation type, timescale and statistical property in financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(7), pages 1681-1693.

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