Return-volatility correlation in financial dynamics.

@article{Qiu2006ReturnvolatilityCI,
  title={Return-volatility correlation in financial dynamics.},
  author={Taotao Qiu and Bo Zheng and Feifei Ren and Steffen Trimper},
  journal={Physical review. E, Statistical, nonlinear, and soft matter physics},
  year={2006},
  volume={73 6 Pt 2},
  pages={065103}
}
We investigate the return-volatility correlation both local and nonlocal in time with daily and minutely data of the German DAX and Chinese indices, and observe a leverage effect for the German DAX, while an antileverage effect for the Chinese indices. In the negative time direction, i.e., for the volatility-return correlation, an antileverage effect nonlocal in time is detected for both the German DAX and Chinese indices, although the duplicate local in time does not exist. A retarded… CONTINUE READING

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