Long term memory in extreme returns of financial time series
Long term memory in extreme returns of financial time series
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DOI：
10.1016/j.physa.2009.05.046
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发表时间：
2009-10-01
影响因子：
3.3
通讯作者：
Havlin, Shlomo
中科院分区：
文献类型：
--
作者：
Muchnik, Lev;Bunde, Armin;Havlin, Shlomo
众所周知，虽然金融市场的每日价格回报是不相关的，但它们的绝对值（“波动性”）是长期相关的。在这里，我们提供的证据表明，某些收益率本身也表现出长期记忆。这些连续性由R粘土的连续时间窗口中的收益率的最大值（或最小值）组成。我们的分析表明，对于股票和货币汇率来说，R >= 4的长期相关性很重要。我们认为，这种长期记忆，这是类似于观察到的波动聚类揭示了进一步的洞察价格动态，可用于风险估计。(C)由爱思唯尔公司出版
It is well known that while daily price returns of financial markets are uncorrelated, their absolute Values ('volatility') are long-term correlated. Here we provide evidence that certain subsequences of the returns themselves also exhibit long-term memory. These subsequences consist of maxima (or minima) of returns in consecutive time windows of R clays. Our analysis shows that for both stocks and Currency exchange rates, long-term correlations are significant for R >= 4. We argue that this long-term memory which is similar to that observed in volatility Clustering sheds further insight on price dynamics that might be Used for risk estimation. (C) Published by Elsevier B.V.