On the Nature of Dependence in the Volatility of US Stock Returns
AbstractLong memory in the volatility of individual return series and in the volatility of equal-weighted portfolios constituted by the individual return series is analyzed to see if the memory characteristic of the volatility representation is correlated with the portfolio characteristics of size, standard deviation of returns, and firm's beta.
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Bibliographic InfoPaper provided by University of Adelaide, School of Economics in its series School of Economics Working Papers with number 1998-12.
Length: 46 pages
Date of creation: 1998
Date of revision:
financial market; time series; United States;
Find related papers by JEL classification:
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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