Very slowly decaying auto-correlations: application to volatility in financial markets

zbMATH Open1220.91029MaRDI QIDQ5453708FDOQ5453708

Authors: Markus Porto, H. E. Roman 

Publication date: 3 April 2008

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zbMATH Keywords

autocorrelationpower-law decaylog-returnsdetrended data

Mathematics Subject Classification ID

Economic time series analysis (91B84)

Cited In (5)

• Characterizing heteroskedasticity
• Volatility in atmospheric temperature variability
• Multiscale behaviour of volatility autocorrelations in a financial market
• Correlated squared returns
• The origin of fat-tailed distributions in financial time series

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