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

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.
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11697/18249
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