Multiscale behaviour of volatility autocorrelations in a financial market

Authors
Pasquini, M Serva, M
Citation
M. Pasquini et M. Serva, Multiscale behaviour of volatility autocorrelations in a financial market, ECON LETT, 65(3), 1999, pp. 275-279
Citations number
16
Categorie Soggetti
Economics
Journal title
ECONOMICS LETTERS
ISSN journal
01651765 → ACNP
Volume
65
Issue
3
Year of publication
1999
Pages
275 - 279
Database
ISI
SICI code
0165-1765(199912)65:3<275:MBOVAI>2.0.ZU;2-H
Abstract
We perform a scaling analysis on NYSE daily returns. We show that volatilit y correlations are power-laws on a time range from one day to one year and, more important, that the exponent is not unique, consistently with a multi scale behaviour. (C) 1999 Elsevier Science S.A. All rights reserved.