Volatility Persistence and Apparent Scaling Laws in Finance
نویسنده
چکیده
Recent evidence has shown possible scaling and self-similarity in high frequency financial time series. This paper demonstrates that many of these graphical scaling results could have been generated by a simple stochastic volatility model. This casts doubt on the power of these tests to discern between true scaling and simple highly dependent stochastic processes. JEL Classification: C32, G12 ∗Graduate School of International Economics and Finance, Brandeis University, 415 South Street, Mailstop 021, Waltham, MA 02453 2728, [email protected], stanley.feldberg.brandeis.edu/∼blebaron.
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