Wang, Fengzhong; Shieh, Shwu-Jane; Havlin, Shlomo; … - arXiv.org - 2009
We investigate the two components of the total daily return (close-to-close), the overnight return (close-to-open) and the daytime return (open-to-close), as well as the corresponding volatilities of the 2215 NYSE stocks from 1988 to 2007. The tail distribution of the volatility, the long-term...