Livan, Giacomo; Alfarano, Simone; Milakovic, Mishael; … - Departament d'Economia, Universitat Jaume I - 2014
We perform a rather careful spectral analysis of the correlation structures observed in real and financial returns for a large pool of long-lived US corporations, and find that financial returns are characterized by strong collective fluctuations that are absent from real returns. Once the...