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Firm-level return dispersion and the future volatility of aggregate stock market returns

✍ Scribed by Christopher T. Stivers


Book ID
117769204
Publisher
Elsevier Science
Year
2003
Tongue
English
Weight
213 KB
Volume
6
Category
Article
ISSN
1386-4181

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Intraday dynamics of stock market return
✍ 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