On the correlation analysis of stocks with zero returns

Pub Date : 2023-07-09 DOI:10.1002/cjs.11785
Hamdi Raïssi
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Abstract

The purpose of this article is to study serial correlations, allowing for unconditional heteroscedasticity and time-varying probabilities of zero financial returns. Depending on the set-up, we investigate how the standard autocorrelations can be accommodated to deliver an accurate representation of the serial correlations of stock price changes. We shed light on the properties of the different serial correlations measures by means of Monte Carlo experiments. Theoretical results are also illustrated on shares from the Chilean stock market and Facebook stock intraday data.

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零收益股票的相关性分析
本文旨在研究序列相关性,同时考虑无条件异方差性和时变的零财务收益概率。根据不同的设置,我们研究了如何适应标准自相关,以准确表示股票价格变化的序列相关性。我们通过蒙特卡罗实验揭示了不同序列相关性测量的特性。理论结果还通过智利股市的股票和 Facebook 股票的盘中数据进行了说明。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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