Scaling and memory in the return intervals of realized volatility

Physica A: Statistical Mechanics and its Applications

Volumn 388, Issue 22, 2009, Pages 4787-4796

  Ren, Fei ^a,b   Gu, Gao Feng ^a,b   Zhou, Wei Xing ^a,b,c  

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

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

^c INSTITUTE OF GEOLOGY AND GEOPHYSICS   (China)

Author keywords

Econophysics; Long memory; Realized volatility; Return interval; Scaling

Indexed keywords

COMPUTATIONAL COMPLEXITY; SCALING LAWS;

ECONOPHYSICSS; LONG MEMORY; REALIZED VOLATILITY; RETURN INTERVAL; SCALING;

PROBABILITY DISTRIBUTIONS;

EID: 69549120314     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2009.08.009     Document Type: Article

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