Work

Principal regression analysis and the index leverage effect

Year: 2011

Type: article

Source: Physica A Statistical Mechanics and its Applications

DOI: 10.1016/j.physa.2011.04.007

Authors: Pierre-Alain Reigneron, Romain Allez, Jean-Philippe Bouchaud

Institution: Capital Fund Management (France)

Language: English

Topic: Complex Systems and Time Series Analysis

Subfield: Economics and Econometrics

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: bronze

OpenAlex ID: W2099609341

FWCI: 11.2

Cites: 27

Cited by: 40

Related to: 10