๐”– Bobbio Scriptorium
โœฆ   LIBER   โœฆ

Comparison between volatility return intervals of the S&P

โœ Scribed by I. Vodenska-Chitkushev; F. Z. Wang; P. Weber; K. Yamasaki; S. Havlin; H. E. Stanley


Book ID
111622499
Publisher
Springer
Year
2008
Tongue
English
Weight
296 KB
Volume
61
Category
Article
ISSN
1434-6036

No coin nor oath required. For personal study only.


๐Ÿ“œ SIMILAR VOLUMES


The impact of volatility derivatives on
โœ Paul Dawson; Sotiris K. Staikouras ๐Ÿ“‚ Article ๐Ÿ“… 2009 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 274 KB

## Abstract This study investigates whether the newly cultivated platform of volatility derivatives has altered the volatility of the underlying S&P500 index. The findings suggest that the onset of the volatility derivatives trading has lowered the volatility of both the cash market volatility and

Scaling and memory effect in volatility
โœ T. Qiu; L. Guo; G. Chen ๐Ÿ“‚ Article ๐Ÿ“… 2008 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 919 KB

We investigate the probability distribution of the volatility return intervals ฯ„ for the Chinese stock market. We rescale both the probability distribution P q (ฯ„ ) and the volatility return intervals ฯ„ as P q (ฯ„ ) = 1/ฯ„ f (ฯ„ /ฯ„ ) to obtain a uniform scaling curve for different threshold value q. Th