Multiscale behaviour of volatility autocorrelations in a financial market

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dc.creatorPasquini, Michele
dc.creatorServa, Maurizio
dc.date1998-10-19
dc.date.accessioned2026-07-07T12:07:08Z
dc.date.available2026-07-07T12:07:08Z
dc.descriptionWe 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.
dc.description2 pages, RevTeX, 3 eps figures, submitted to Economics Letters
dc.identifierhttps://arxiv.org/abs/cond-mat/9810232
dc.identifierhttp://arxiv.org/abs/cond-mat/9810232
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208869
dc.subjectStatistical Mechanics
dc.subjectDisordered Systems and Neural Networks
dc.subjectStatistical Finance
dc.titleMultiscale behaviour of volatility autocorrelations in a financial market
dc.typetext

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