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- W2349897029 abstract "We study the multiscale behaviour of Chinese stock market indices. By performing a scaling analysis of the standard deviations of index variations over time intervals of different sizes, index returns over time intervals of different sizes and the generalized cumulative absolute returns (GCAR), we show that there are the power-laws correlations between the standard deviations of GCAR and the time intervals and that the power exponent is not unique (multiscale behaviour). We also analyse the distribution of volatility using the computed scaling exponent." @default.
- W2349897029 created "2016-06-24" @default.
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- W2349897029 date "2002-01-01" @default.
- W2349897029 modified "2023-09-25" @default.
- W2349897029 title "Empirical Analysis of Multiscale Behaviour of Chinese Stock Market" @default.
- W2349897029 hasPublicationYear "2002" @default.
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