Zumbach, Gilles O.; Dacorogna, Michel M.; Olsen, Jorgen L. - EconWPA - 2004
Two 'event' scales for financial markets, called 'scale of market shocks' (SMS), are introduced, which measure the … volatilities over time horizons that range from 1 hour to 42 days. The first SMS is an absolute scale, or universal scale, allowing … values of different assets to be compared directly. The second SMS is an adaptive scale, calibrated to the typical behavior …