Volatility Reversion and Correlation Structure of Returns in Major International Stock Markets
โ Scribed by Panayiotis Theodossiou; Emel Kahya; Gregory Koutmos; Andreas Christofi
- Book ID
- 109178070
- Publisher
- John Wiley and Sons
- Year
- 1997
- Tongue
- English
- Weight
- 955 KB
- Volume
- 32
- Category
- Article
- ISSN
- 0732-8516
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
We investigate the probability distribution of the volatility return intervals ฯ for the Chinese stock market. We rescale both the probability distribution P q (ฯ ) and the volatility return intervals ฯ as P q (ฯ ) = 1/ฯ f (ฯ /ฯ ) to obtain a uniform scaling curve for different threshold value q. Th
## Abstract Current literature is inconclusive as to whether idiosyncratic risk influences future stock returns and the direction of the impact. Earlier studies are based on historical realized volatility. Implied volatilities from option prices represent the market's assessment of future risk and