Long term memory in extreme returns of financial time series

Physica A: Statistical Mechanics and its Applications

Volumn 388, Issue 19, 2009, Pages 4145-4150

  Muchnik, Lev ^a   Bunde, Armin ^b   Havlin, Shlomo ^c  

^a NEW YORK UNIVERSITY   (United States)

^b JUSTUS LIEBIG UNIVERSITY   (Germany)

^c BAR ILAN UNIVERSITY   (Israel)

Author keywords

Econophysics; Extreme values; Long term correlation; Long term memory; Volatility

Indexed keywords

ECONOMICS; FINANCE; RISK PERCEPTION;

ECONOPHYSICSS; EXTREME VALUE; LONG TERM MEMORY; LONG-TERM CORRELATIONS; VOLATILITY;

FINANCIAL DATA PROCESSING;

EID: 67650113582     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2009.05.046     Document Type: Article

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