Measuring time dependent volatility and cross-sectional correlation in Australian equity returns

William K. Bertram

Physica A: Statistical Mechanics and its Applications, 2008, vol. 387, issue 13, 3183-3191

Abstract: In this study we examine the time-dependent nature of volatility and cross-correlation of Australian equity returns data. Volatility and correlation estimates are calculated using methods that allow for non-stationary behaviour. By averaging the estimates across the entire data set we show that the correlation in ASX stock returns displays evidence of significant time-dependent behaviour. We also find that the volatility estimates do not display similar non-stationary patterns.

Keywords: Econophysics; Time-series analysis; Non-stationarity; Correlation (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:387:y:2008:i:13:p:3183-3191

DOI: 10.1016/j.physa.2008.01.106

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