𝔖 Bobbio Scriptorium
✦   LIBER   ✦

CPF stocks: Prices, returns and volatility

✍ Scribed by Swee-Sum Lam; Kai-Chong Tsui

Publisher
Springer
Year
1992
Tongue
English
Weight
552 KB
Volume
9
Category
Article
ISSN
0217-4561

No coin nor oath required. For personal study only.

πŸ“œ SIMILAR VOLUMES

Intraday dynamics of stock market return
Intraday dynamics of stock market returns and volatility
✍ Faruk SelΓ§uk; Ramazan GenΓ§ay πŸ“‚ Article πŸ“… 2006 πŸ› Elsevier Science 🌐 English βš– 497 KB

This paper provides new empirical evidence for intraday scaling behavior of stock market returns utilizing a 5 min stock market index (the Dow Jones Industrial Average) from the New York Stock Exchange. It is shown that the return series has a multifractal nature during the day. In addition, we show

Initial margin requirements and stock re
Initial margin requirements and stock returns volatility: Another look
✍ Paul H. Kupiec πŸ“‚ Article πŸ“… 1989 πŸ› Springer 🌐 English βš– 879 KB

This article investigates the relationship between initial margin requirements and stock return volatility. Volatility is measured using a GARCH in Mean model. We find no evidence of an empirical relationship between margin requirements and the volatility of the S&P 500 index portfolio's excess retu