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Asset returns and volatility clustering in financial time series
Asset returns volatility clustering financial time series
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2010/10/18
An analysis of the stylized facts in financial time series is carried out. We find that, instead of the heavy tails in asset return distributions, the slow decay behaviour in autocorrelation function...
Direct evidence for inversion formula in multifractal financial volatility measure
Direct evidence inversion formula multifractal financial volatility measure
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2010/12/13
The inversion formula for conservative multifractal measures was unveiled mathematically a decade ago, which is however not well tested in real complex systems. In this Letter, we propose to verify th...