Limited information-processing capacity and asymmetric stock correlations

DOI10.1080/14697688.2013.808374zbMath1398.91678OpenAlexW2041218269MaRDI QIDQ4683041

Ozcan Ceylan

Publication date: 19 September 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://mpra.ub.uni-muenchen.de/61587/1/MPRA_paper_61587.pdf

zbMATH Keywords

attention allocationrealized correlationsorthogonalized impulse-responsesvariance risk premia

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Cites Work

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• Modeling and Forecasting Realized Volatility
• Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
• A Tale of Two Time Scales

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