Grobys, Klaus; Han, Yao; Kolari, James W. - In: Journal of risk and financial management : JRFM 16 (2023) 2, pp. 1-16
This study explores the dependency structure of S&P 500 survivor stocks. Using a hand-collected sample of stocks that … nonlinearities in the return processes of survivor stocks due to Paretian tails. Second, the return processes of very long …-split tests reveal that the memory on average has virtually not changed over time—that is, survivor stocks do not forget. Fourth …