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
Stock market volatility and regime shifts in returns
โ Scribed by Chia-Shang James Chu; Gary J. Santoni; Tung Liu
- Publisher
- Elsevier Science
- Year
- 1996
- Tongue
- English
- Weight
- 493 KB
- Volume
- 94
- Category
- Article
- ISSN
- 0020-0255
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