Evidence of an asymmetry in the relationship between volatility and autocorrelation
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- Sentana, Enrique & Wadhwani, Sushil B, 1992. "Feedback Traders and Stock Return Autocorrelations: Evidence from a Century of Daily Data," Economic Journal, Royal Economic Society, vol. 102(411), pages 415-425, March.
- Madhavan, Ananth, 2000. "Market microstructure: A survey," Journal of Financial Markets, Elsevier, vol. 3(3), pages 205-258, August.
- Andrew W. Lo, A. Craig MacKinlay, 1988.
"Stock Market Prices do not Follow Random Walks: Evidence from a Simple Specification Test,"
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- Andrew W. Lo & A. Craig MacKinlay, 1987. "Stock Market Prices Do Not Follow Random Walks: Evidence From a Simple Specification Test," NBER Working Papers 2168, National Bureau of Economic Research, Inc.
- Knif, Johan & Pynnonen, Seppo & Luoma, Martti, 1996. "Testing for common autocorrelation features of two scandinavian stock markets," International Review of Financial Analysis, Elsevier, vol. 5(1), pages 55-64.
- Michael D. McKenzie & Robert W. Faff, 2003. "The Determinants of Conditional Autocorrelation in Stock Returns," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 26(2), pages 259-274.
- Conrad, Jennifer & Kaul, Gautam, 1988. "Time-Variation in Expected Returns," The Journal of Business, University of Chicago Press, vol. 61(4), pages 409-425, October.
- G. Geoffrey Booth & Gregory Koutmos, 1998. "Interaction of volatility and autocorrelation in foreign stock returns," Applied Economics Letters, Taylor & Francis Journals, vol. 5(11), pages 715-717.
- Fischer Black, 1989. "Mean Reversion and Consumption Smoothing," NBER Working Papers 2946, National Bureau of Economic Research, Inc.
- Glosten, Lawrence R & Jagannathan, Ravi & Runkle, David E, 1993. " On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks," Journal of Finance, American Finance Association, vol. 48(5), pages 1779-1801, December.
- Lawrence R. Glosten & Ravi Jagannathan & David E. Runkle, 1993. "On the relation between the expected value and the volatility of the nominal excess return on stocks," Staff Report 157, Federal Reserve Bank of Minneapolis.
- Lo, Andrew W. & Craig MacKinlay, A., 1990. "An econometric analysis of nonsynchronous trading," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 181-211.
- Andrew W. Lo & Craig A. MacKinlay, "undated". "An Econometric Analysis of Nonsyschronous-Trading," Rodney L. White Center for Financial Research Working Papers 19-89, Wharton School Rodney L. White Center for Financial Research.
- Andrew W. Lo & A. Craig MacKinlay, 1989. "An Econometric Analysis of Nonsynchronous Trading," NBER Working Papers 2960, National Bureau of Economic Research, Inc.
- Fischer Black, 1988. "An Equilibrium Model of the Crash," NBER Chapters,in: NBER Macroeconomics Annual 1988, Volume 3, pages 269-276 National Bureau of Economic Research, Inc.
- Koutmos, Gregory, 1997. "Feedback trading and the autocorrelation pattern of stock returns: further empirical evidence," Journal of International Money and Finance, Elsevier, vol. 16(4), pages 625-636, August.
- Bollen, Nicolas P. B. & Gray, Stephen F. & Whaley, Robert E., 2000. "Regime switching in foreign exchange rates: Evidence from currency option prices," Journal of Econometrics, Elsevier, vol. 94(1-2), pages 239-276.
- Ogden, Joseph P, 1997. "Empirical Analyses of Three Explanations for the Positive Autocorrelation of Short-Horizon Stock Index Returns," Review of Quantitative Finance and Accounting, Springer, vol. 9(2), pages 203-217, September. Full references (including those not matched with items on IDEAS)
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