Nonstationarity of stock returns. (English) Zbl 1411.91532
Bohner, Martin (ed.) et al., Difference equations, discrete dynamical systems and applications. Proceedings of the 20th international conference on difference equations and applications, ICDEA, Wuhan, China, July 21–25, 2014. Cham: Springer. Springer Proc. Math. Stat. 150, 153-165 (2015).
Summary: Theoretical framework and an appropriate algorithm is developed to measure the nonstationarity (NS) of data streams. With the nonstationary measure, the properties of stock returns are studied. Three experiments illustrate that: the nonstationarity of stock return can not be diversified with big portfolio; nonstationarity, which can explain the risk premium, is positively related to the investing period.
For the entire collection see [Zbl 1333.37005].
For the entire collection see [Zbl 1333.37005].
MSC:
| 91G10 | Portfolio theory |
| 62P05 | Applications of statistics to actuarial sciences and financial mathematics |
References:
This reference list is based on information provided by the publisher or from digital mathematics libraries. Its items are heuristically matched to zbMATH identifiers and may contain data conversion errors. In some cases that data have been complemented/enhanced by data from zbMATH Open. This attempts to reflect the references listed in the original paper as accurately as possible without claiming completeness or a perfect matching.
