On the Nature of Dependence in the Volatility of US Stock Returns
No 1998-12, School of Economics Working Papers from University of Adelaide, School of Economics
Long memory in the volatility of individual return series and in the volatility of equal-weighted portfolios constituted by the individual return series is analyzed to see if the memory characteristic of the volatility representation is correlated with the portfolio characteristics of size, standard deviation of returns, and firm's beta.
Keywords: financial market, time series; United States (search for similar items in EconPapers)
JEL-codes: C52 G10 G12 (search for similar items in EconPapers)
Pages: 46 pages
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Persistent link: https://EconPapers.repec.org/RePEc:adl:wpaper:1998-12
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