Multiscale behaviour of volatility autocorrelations in a financial market
classification
❄️ cond-mat.stat-mech
cond-mat.dis-nnq-fin.ST
keywords
behaviourmultiscalevolatilityanalysisautocorrelationscorrelationsdailyexhibit
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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.
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