Ellis, Craig; Hudson, Christopher - In: Physica A: Statistical Mechanics and its Applications 378 (2007) 2, pp. 374-386
This paper extends research by Batten and Ellis [Econ. Lett. 72 (2001) 291] to propose a simple model of scale-adjusted volatility which measures the extent to which the Gaussian scaling law mis-estimates long-horizon volatility. Applied to the Dow Jones industrial average, the results of our...