Autoregressive processes with anomalous scaling behavior: Applications to high-frequency variations of a stock market index

Physical Review E - Statistical, Nonlinear, and Soft Matter Physics

Volumn 67, Issue 6 2, 2003, Pages

  Dose, Christian ^a,b   Porto, Markus ^c   Roman, H Eduardo ^a  

^a UNIVERSITY OF MILAN   (Italy)

^b UNIVERSITY OF GENOA   (Italy)

^c MAX PLANCK INSTITUT FÜR PHYSIK KOMPLEXER SYSTEME   (Germany)

Author keywords

[No Author keywords available]

Indexed keywords

COMPUTER SIMULATION; PROBABILITY DENSITY FUNCTION; PROBABILITY DISTRIBUTIONS; REGRESSION ANALYSIS; TIME SERIES ANALYSIS;

ANOMALOUS SCALING BEHAVIOR; AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY; AUTOREGRESSIVE PROCESSES; STOCK MARKET INDEX;

STATISTICAL MECHANICS;

EID: 37649028140     PISSN: 1063651X     EISSN: None     Source Type: Journal    
DOI: None     Document Type: Article

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