Statistical properties of volatility return intervals of Chinese stocks

Physica A: Statistical Mechanics and its Applications

Volumn 388, Issue 6, 2009, Pages 881-890

  Ren, Fei ^a,b   Guo, Liang ^a   Zhou, Wei Xing ^a,b  

^a EAST CHINA UNIVERSITY OF SCIENCE AND TECHNOLOGY   (China)

^b EAST CHINA UNIVERSITY OF SCIENCE AND TECHNOLOGY   (China)

Author keywords

Econophysics; Long memory; Scaling; Volatility return interval

Indexed keywords

COMPUTATIONAL COMPLEXITY; EXPONENTIAL FUNCTIONS;

CONDITIONAL PROBABILITY DISTRIBUTIONS; DETRENDED FLUCTUATION ANALYSIS; ECONOPHYSICSS; KOLMOGOROV-SMIRNOV TEST; LONG MEMORY; SCALING; STRETCHED EXPONENTIAL FUNCTIONS; VOLATILITY RETURN INTERVALS;

PROBABILITY DISTRIBUTIONS;

EID: 58149326719     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2008.12.005     Document Type: Article

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