Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/102276
Authors: 
Livan, Giacomo
Alfarano, Simone
Milakovic, Mishael
Scalas, Enrico
Year of Publication: 
2014
Series/Report no.: 
FinMaP-Working Paper 12
Abstract: 
We perform a careful spectral analysis of the correlation structures observed in real and financial returns for a large pool of long-lived US corporations, and find that financial returns are characterized by strong collective fluctuations that are absent from real returns. Once the excessive comomvement is subtracted from individual financial time series, the behavior of real and financial returns is virtually identical in both the cross-sectional and time series domains, thereby demonstrating the inherently collective nature of excessive fluctuations. Put differently, if excess volatility is to be reduced then one would do well to inhibit excess comovement first. At any rate, the excessive behavior in volatility and comovement should no longer be studied in isolation of each other.
Document Type: 
Working Paper
Appears in Collections:

Files in This Item:
File
Size
535.26 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.