| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 976796 | Physica A: Statistical Mechanics and its Applications | 2007 | 12 Pages |
Abstract
We investigate statistical properties of the German Dax and Chinese indices, including the volatility distribution, autocorrelation function, DFA function and return-volatility correlation function, with both the daily data and minutely data. At the minutely time scale, the Chinese indices may show irregular dynamic behavior. At the daily time scale, the volatility distribution, autocorrelation function and DFA function of the Chinese indices are qualitatively similar to those of the German Dax, while the return-volatility correlation function exhibits an anti-leverage effect, different from the leverage effect of the German Dax.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
T. Qiu, B. Zheng, F. Ren, S. Trimper,