The angular distribution of asset returns in delay space
Plotting asset returns against themselves with a one-period lag reveals the “compass rose” pattern of Crack and Ledoit (1996). They describe the pattern, caused by discreteness, as “subjective”. We develop a new and original set of “objective” statistical procedures to quantify the compass rose and...
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2001-01-01
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| Series: | Discrete Dynamics in Nature and Society |
| Subjects: | |
| Online Access: | http://dx.doi.org/10.1155/S1026022601000115 |
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