Multiscale behaviour of volatility autocorrelations in a financial market

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We perform a scaling analysis on NYSE daily returns. We show that volatility correlations are power-laws on a time range from one day to one year and, more important, that they exhibit a multiscale behaviour.
2 pages, RevTeX, 3 eps figures, submitted to Economics Letters

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Statistical Mechanics, Disordered Systems and Neural Networks, Statistical Finance

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http://salesiana.dossiersoluciones.com/handle/123456789/208869

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/cond-mat/9810232
 http://arxiv.org/abs/cond-mat/9810232

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arXiv