Answered step by step
Verified Expert Solution
Link Copied!

Question

1 Approved Answer

One of the stylized facts of the financial markets states that the log-returns of the stock price on consecutive daysri= log(Si/Si1) are (pick one): i)

One of the stylized facts of the financial markets states that the log-returns of the stock price on consecutive daysri= log(Si/Si1) are (pick one):

i) Positively correlated

ii) Negatively correlated

iii) Uncorrelated

1) Does this property hold also for the squared returnsri2and the absolute

values of the returns|ri|?

2) Does this stylized fact remain valid for microstructure data? If not,

what is different at the microscale?

Step by Step Solution

There are 3 Steps involved in it

Step: 1

blur-text-image

Get Instant Access to Expert-Tailored Solutions

See step-by-step solutions with expert insights and AI powered tools for academic success

Step: 2

blur-text-image

Step: 3

blur-text-image

Ace Your Homework with AI

Get the answers you need in no time with our AI-driven, step-by-step assistance

Get Started

Recommended Textbook for

Measure And Integral

Authors: Martin Brokate, Götz Kersting

1st Edition

331915365X, 9783319153650

More Books

Students also viewed these Mathematics questions

Question

=+beliefs about the brand, product, or service?

Answered: 1 week ago

Question

=+4. Did your message properly reflect the brand's image?

Answered: 1 week ago