Multiscale behaviour of volatility autocorrelations in a financial market

Details Multiscale behaviour of volatility autocorrelations in a financial market Multiscale behaviour of volatility autocorrelations in a financial market

1998-10-19

arxiv.org/abs/cond-mat/9810232v1

Physics

Condensed Matter

Statistical Mechanics

2 pages, RevTeX, 3 eps figures, submitted to Economics Letters

Scientific paper

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.

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