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Qiu T, Zheng B, Ren F, et al. Return-volatility correlation in financial dynamics. Phys Rev E Stat Nonlin Soft Matter Phys. 2006;73(6):065103doi: 10.1103/PhysRevE.73.065103.
Qiu, T., Zheng, B., Ren, F., & Trimper, S. (2006). Return-volatility correlation in financial dynamics. Physical review. E, Statistical, nonlinear, and soft matter physics, 73(6), 065103. https://doi.org/10.1103/PhysRevE.73.065103
Qiu, T, et al. "Return-volatility correlation in financial dynamics." Physical review. E, Statistical, nonlinear, and soft matter physics vol. 73,6 (2006): 065103. doi: https://doi.org/10.1103/PhysRevE.73.065103
Qiu T, Zheng B, Ren F, Trimper S. Return-volatility correlation in financial dynamics. Phys Rev E Stat Nonlin Soft Matter Phys. 2006 Jun;73(6):065103. doi: 10.1103/PhysRevE.73.065103. Epub 2006 Jun 06. PMID: 16906892.
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Phys Rev E Stat Nonlin Soft Matter Phys. 2006 Jun;73(6):065103. doi: 10.1103/PhysRevE.73.065103. Epub 2006 Jun 06.

Return-volatility correlation in financial dynamics.

Physical review. E, Statistical, nonlinear, and soft matter physics

T Qiu, B Zheng, F Ren, S Trimper

Affiliations

  1. Zhejiang University, Zhejiang Institute of Modern Physics, Hangzhou 310027, People's Republic of China.

PMID: 16906892 DOI: 10.1103/PhysRevE.73.065103

Abstract

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 volatility model may describe the asymmetric properties of the financial indices in the positive time direction.

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