Effect of nonlinear correlations on the statistics of return intervals in multifractal data sets

Physical Review Letters

Volumn 99, Issue 24, 2007, Pages

  Bogachev, Mikhail I ^a   Eichner, Jan F ^a   Bunde, Armin ^a  

^a JUSTUS LIEBIG UNIVERSITY   (Germany)

Author keywords

[No Author keywords available]

Indexed keywords

AUTOCORRELATION; DATA STRUCTURES; NONLINEAR ANALYSIS; PROBABILITY DENSITY FUNCTION; RISK MANAGEMENT; SCALABILITY;

CONDITIONAL RETURN; POWER-LAW; RETURN INTERVALS; SYSTEM SIZE;

CORRELATION THEORY;

EID: 36949018421     PISSN: 00319007     EISSN: 10797114     Source Type: Journal    
DOI: 10.1103/PhysRevLett.99.240601     Document Type: Article

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