Evidence of an asymmetry in the relationship between volatility and autocorrelation
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- Lo, Andrew W. & Craig MacKinlay, A., 1990.
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- Andrew W. Lo & Craig A. MacKinlay, . "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.
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- 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.
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- Fischer Black, 1989. "Mean Reversion and Consumption Smoothing," NBER Working Papers 2946, National Bureau of Economic Research, Inc.
- 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 203-17, September.
- 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,"
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- 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.
- 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 415-25, March.
- 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.
- 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.
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- Andrew W. Lo, A. Craig MacKinlay, 1988. "Stock Market Prices do not Follow Random Walks: Evidence from a Simple Specification Test," Review of Financial Studies, Society for Financial Studies, vol. 1(1), pages 41-66.
- 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.
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