Is non-Gaussianity sufficient to produce long-range volatile correlations?

Details Is non-Gaussianity sufficient to produce long-range volatile correlations? Is non-Gaussianity sufficient to produce long-range volatile correlations?

2005-10-19

arxiv.org/abs/cond-mat/0510513v3

Physica A, 2005

Physics

Condensed Matter

Statistical Mechanics

17 Pages, 6 Figures, Physica A

Scientific paper

10.1016/j.physa.2006.01.064

Scaling analysis of the magnitude series (volatile series) has been proposed recently to identify possible nonlinear/multifractal signatures in the given data [1-3]. In this letter, correlations of volatile series generated from stationary first-order linear feedback process with Gaussian and non-Gaussian innovations are investigated. While volatile correlations corresponding to Gaussian innovations exhibited uncorrelated behavior across all time scales, those of non-Gaussian innovations showed significant deviation from uncorrelated behavior even at large time scales. The results presented raise the intriguing question whether non-Gaussian innovations can be sufficient to realize long-range volatile correlations.

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