| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 10480793 | Physica A: Statistical Mechanics and its Applications | 2011 | 10 Pages |
Abstract
⺠We revisit the index leverage effect. ⺠It can be decomposed into a volatility effect and a correlation effect. ⺠We investigate the latter using a matrix regression analysis. ⺠We provide some analytical (using Random Matrix Theory) and numerical benchmarks.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Pierre-Alain Reigneron, Romain Allez, Jean-Philippe Bouchaud,