Hey guys I'm trying to answer a question 'according to folklores, negative returns tend to cause more volatility than positive ones. Does this hold for the DJCA return series?'
I'm unsure how I can show if this is true or not, any help would be greatly appreciated thanks
Search found 2 matches
- Sun Oct 14, 2012 7:17 am
- Forum: Econometric Discussions
- Topic: Negative returns
- Replies: 1
- Views: 2782
- Thu Oct 11, 2012 4:48 am
- Forum: Econometric Discussions
- Topic: Dependent structure
- Replies: 1
- Views: 2997
Dependent structure
Hey guys I'm somewhat new to econometrics so this might be a rookie question but if a question asks this: 'Can you build an adequate model for the DJCA return series, which captures the dependence structure in the return series?' Would I be right in looking at Ac in returns and squared returns, if i...
