Multiscale behaviour of volatility autocorrelations in a financial market
نشر في Michele Pasquini
بتاريخ 1998
في مجال فيزياء
والبحث باللغة
English
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الملخص بالإنكليزية
We perform a scaling analysis on NYSE daily returns. We show that volatility correlations are power-laws on a time range from one day to one year and, more important, that they exhibit a multiscale behaviour.