A nested factor model for non-linear dependences in stock returns

The aim of our work is to propose a natural framework to account for all the empirically known properties of the multivariate distribution of stock returns. We define and study a "nested factor model", where the linear factors part is standard, but where the log-volatility of the linear fa...

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Veröffentlicht in:	arXiv.org 2013-09
Hauptverfasser:	Chicheportiche, Rémy, Bouchaud, Jean-Philippe
Format:	Artikel
Sprache:	eng
Schlagworte:	Bivariate analysis Correlation coefficients Dependence Quantitative Finance - Portfolio Management Quantitative Finance - Risk Management Quantitative Finance - Statistical Finance Volatility
Online-Zugang:	Volltext
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