Serial correlation and heterogeneous volatility in financial markets: beyond the LeBaron effect

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dc.creatorBianco, Simone
dc.creatorCorsi, Fulvio
dc.creatorReno', Roberto
dc.date2008-10-27
dc.date.accessioned2026-07-07T12:06:04Z
dc.date.available2026-07-07T12:06:04Z
dc.descriptionWe study the relation between serial correlation of financial returns and volatility at intraday level for the S&P500 stock index. At daily and weekly level, serial correlation and volatility are known to be negatively correlated (LeBaron effect). While confirming that the LeBaron effect holds also at intraday level, we go beyond it and, complementing the efficient market hyphotesis (for returns) with the heterogenous market hyphotesis (for volatility), we test the impact of unexpected volatility, defined as the part of volatility which cannot be forecasted, on the presence of serial correlations in the time series. We show that unexpected volatility is instead positively correlated with intraday serial correlation.
dc.description7 Pages, 2 figures, 1 table. Submitted version
dc.identifierhttps://arxiv.org/abs/0810.4912
dc.identifierhttp://arxiv.org/abs/0810.4912
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208550
dc.subjectStatistical Finance
dc.subjectPhysics and Society
dc.titleSerial correlation and heterogeneous volatility in financial markets: beyond the LeBaron effect
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