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Conditional Jump Dynamics in Stock Market Returns

✍ Scribed by Wing H. Chan and John M. Maheu


Book ID
124714345
Publisher
American Statistical Association
Year
2002
Tongue
English
Weight
532 KB
Volume
20
Category
Article
ISSN
0735-0015

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Intraday dynamics of stock market return
✍ Faruk SelΓ§uk; Ramazan GenΓ§ay πŸ“‚ Article πŸ“… 2006 πŸ› Elsevier Science 🌐 English βš– 497 KB

This paper provides new empirical evidence for intraday scaling behavior of stock market returns utilizing a 5 min stock market index (the Dow Jones Industrial Average) from the New York Stock Exchange. It is shown that the return series has a multifractal nature during the day. In addition, we show