More stylized facts of financial markets: leverage effect and downside correlations-Reference-Cited by-同舟云学术

More stylized facts of financial markets: leverage effect and downside correlations

Published:2001-10 Issue:1-2 Volume:299 Page:60-70
ISSN:0378-4371
Container-title:Physica A: Statistical Mechanics and its Applications
language:en
Short-container-title:Physica A: Statistical Mechanics and its Applications

Author:

Bouchaud Jean-Philippe,Potters Marc

Publisher

Elsevier BV

Subject

Condensed Matter Physics,Statistics and Probability

Reference28 articles.

1. A long memory property of stock market returns and a new model

2. J.Y. Campbell, A.W. Lo, A.C. McKinley, The Econometrics of Financial Markets, Princeton University Press, Princeton, NJ, 1997, and references therein.

3. Correlations in economic time series

4. Volatility distribution in the S&P500 stock index

5. Financial markets as adaptive systems

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