title: Return-volatility correlation in financial dynamics.
abstract: We investigate the return-volatility correlation both local and nonlocal in time with daily and minutely data of the German DAX and Chinese indices, and observe a leverage effect for the German DAX, while an antileverage effect for the Chinese indices. In the negative time direction, i.e., for the volatility-return correlation, an antileverage effect nonlocal in time is detected for both the German DAX and Chinese indices, although the duplicate local in time does not exist. A retarded volatility model may describe the asymmetric properties of the financial indices in the positive time direction.
authors.affiliation: Zhejiang University, Zhejiang Institute of Modern Physics, Hangzhou 310027, People's Republic of China.
authors.forename: T
authors.initials: T
authors.lastname: Qiu
authors.forename: B
authors.initials: B
authors.lastname: Zheng
authors.forename: F
authors.initials: F
authors.lastname: Ren
authors.forename: S
authors.initials: S
authors.lastname: Trimper