SPECTRAL ANALYSIS OF STOCK-RETURN VOLATILITY, CORRELATION, AND BETA

被引：0
|
作者：
Chaudhuri, A. Shomesh E. [1 ]
Lo, B. Andrew W. [2 ]
机构：
[1] MIT, Elect Engn & Comp Sci, Cambridge, MA 02139 USA
[2] MIT, Sloan Sch Management, CSAIL, EECS, 77 Massachusetts Ave, Cambridge, MA 02139 USA
来源：
2015 IEEE SIGNAL PROCESSING AND SIGNAL PROCESSING EDUCATION WORKSHOP (SP/SPE) | 2015年
关键词：
spectral analysis; volatility; correlation; beta; portfolio theory; financial engineering; COMOVEMENT; MODELS;
D O I：
暂无
中图分类号：
TM [电工技术]; TN [电子技术、通信技术];
学科分类号：
0808 ; 0809 ;
摘要：
We apply spectral techniques to analyze the volatility and correlation of U.S. common-stock returns across multiple time horizons at the aggregate-market and individual-firm level. Using the cross-periodogram to construct frequency band-limited measures of variance, correlation and beta, we find that volatilities and correlations change not only in magnitude over time, but also in frequency. Factors that may be responsible for these trends are proposed and their implications for portfolio construction are explored.
引用
收藏
页码：232 / 236
页数：5
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