Multiscale behaviour of volatility autocorrelations in a financial market
arXiv:cond-mat/9810232
Abstract
We perform a scaling analysis on NYSE daily returns. We show that volatility correlations are power-laws on a time range from one day to one year and, more important, that they exhibit a multiscale behaviour.
arXiv comment2 pages, RevTeX, 3 eps figures, submitted to Economics Letters