long persistent time lag and slow decay in the autocorrelation functions of volatility. Besides, we find that the … scales; we also find that the PDFs of volatility, for short time horizons, fit better with a log-normal distribution than …

of long-range dependence in the volatility of 14 energy and agricultural commodity futures price series using the …

this method to stock volatility series. The method uses the techniques of the diffusion process and Rényi entropy to focus … on the scaling behaviors of regular volatility and extreme volatility respectively in developed and emerging markets. It … successfully distinguishes their differences where regular volatility exhibits long-range persistence while extreme volatility …

exponent about four or an exponential-type decay, the volatility, and its correlations depend on the opening effect of each …

This paper investigates the asymmetry and long-memory volatility behavior of the Malaysian Stock Exchange daily data … volatility and long-memory behavior of the volatility are fitted by the asymmetry GARCH models and GARCH with the inclusion of … realized volatility at the final period. Across the periods, the results show the mixture of symmetry and asymmetry GARCH …

We examine whether the relationship between market volatility and network properties in the low-frequency level can be … Korean stock market data. The results show that the higher the market volatility is, the denser the MST of stocks becomes …. The normalized tree length shows a strong negative relationship with market volatility, indicating that the distances …

volatility. The existence of a Cramér function, the characteristic function for self-similarity, is confirmed by analyzing real …

working months). Volatility also scales, with long-run correlations being particularly important. …