1.
Phys Rev Lett
; 87(22): 228701, 2001 Nov 26.
Article
in English
| MEDLINE
| ID: mdl-11736431
ABSTRACT
We investigate quantitatively the so-called "leverage effect," which corresponds to a negative correlation between past returns and future volatility. For individual stocks this correlation is moderate and decays over 50 days, while for stock indices it is much stronger but decays faster. For individual stocks the magnitude of this correlation has a universal value that can be rationalized in terms of a new "retarded" model which interpolates between a purely additive and a purely multiplicative stochastic process. For stock indices a specific amplification phenomenon seems to be necessary to account for the observed amplitude of the effect.
2.
Phys Rev D Part Fields
; 51(4): 1577-1586, 1995 Feb 15.
Article
in English
| MEDLINE
| ID: mdl-10018625
3.
Phys Rev D Part Fields
; 49(12): 6612-6635, 1994 Jun 15.
Article
in English
| MEDLINE
| ID: mdl-10016987