Tseng, Jie-Jun; Li, Sai-Ping - In: Physica A: Statistical Mechanics and its Applications 390 (2011) 7, pp. 1300-1314
An analysis of the stylized facts in financial time series is carried out. We find that, instead of the heavy tails in asset return distributions, the slow decay behaviour in autocorrelation functions of absolute returns is actually directly related to the degree of clustering of large...