Correlations and multi-affinity in high frequency financial datasets

DOI10.1016/S0378-4371(01)00363-6zbMath0974.91518WikidataQ60479593 ScholiaQ60479593MaRDI QIDQ5947858

Michele Pasquini, Maurizio Serva, Davide Vergni, Angelo Vulpiani, Roberto Baviera

Publication date: 23 October 2001

Published in: Physica A (Search for Journal in Brave)

zbMATH Keywords

exchange ratesbussiness timesequence quote ranking

Mathematics Subject Classification ID

Trade models (91B60)

Cites Work

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• Long-range dependence in the conditional variance of stock returns
• Multiscale behaviour of volatility autocorrelations in a financial market
• Generalized autoregressive conditional heteroscedasticity
• Long memory processes and fractional integration in econometrics
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

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