Skewness, long-time memory, and non-stationarity: Application to leverage effect in financial time series

We analyze daily log-returns data for a set of 1200 stocks, taken from US stock markets, over a period of 2481 trading days (January 1996–November 2005). We estimate the degree of non-stationarity in daily market volatility employing a polynomial fit, used as a detrending function. We find that the ... View More