| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 10480599 | Physica A: Statistical Mechanics and its Applications | 2013 | 9 Pages |
Abstract
⺠We analyze high-frequency log-returns of the Ibex35 index in a two year period. ⺠Maximum likelihood estimation and goodness-of-fit tests for a family of distributions. ⺠Best fit is given by the NIG distribution, better than Lévy-stable laws. ⺠Empirical data distribution is stable over several time scales, from seconds to hours. ⺠Time correlations in the data are necessary to explain the observed stability.
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Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Pablo Suárez-GarcÃa, David Gómez-Ullate,