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 the exponent is not unique, consistently with a multiscale behaviour. (C) 1999 Elsevier Science S.A. All rights reserved.
Multiscale behaviour of volatility autocorrelations in a financial market
SERVA, Maurizio
1999-01-01
Abstract
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 the exponent is not unique, consistently with a multiscale behaviour. (C) 1999 Elsevier Science S.A. All rights reserved.File in questo prodotto:
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