Long memory volatility in Chinese stock markets
β Scribed by Sang Hoon Kang; Chongcheul Cheong; Seong-Min Yoon
- Publisher
- Elsevier Science
- Year
- 2010
- Tongue
- English
- Weight
- 689 KB
- Volume
- 389
- Category
- Article
- ISSN
- 0378-4371
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
We investigate the probability distribution of the volatility return intervals Ο for the Chinese stock market. We rescale both the probability distribution P q (Ο ) and the volatility return intervals Ο as P q (Ο ) = 1/Ο f (Ο /Ο ) to obtain a uniform scaling curve for different threshold value q. Th
## 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