Long memory in volatilities of German stock returns
โ Scribed by Philipp Sibbertsen
- Publisher
- Springer-Verlag
- Year
- 2004
- Tongue
- English
- Weight
- 256 KB
- Volume
- 29
- Category
- Article
- ISSN
- 0377-7332
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๐ SIMILAR VOLUMES
## Abstract A lot of recent work has addressed the issue of the presence of long memory components in stock prices because of the controversial implications of such a finding for market efficiency and for martingale models of asset prices used in financial economics and technical trading rules used
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