Multiscale behaviour of volatility autocorrelations in a financial market

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.

MoreLess

Year of publication:	1998-10
Authors:	Pasquini, Michele ; Serva, Maurizio
Institutions:	arXiv.org

freely available

Full text |

More access options

Check Google Scholar

In German libraries (KVK)

I need help

More details

Extent:	application/pdf
Series:	Papers.
Type of publication:	Book / Working Paper
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005099456