Most asset return series, especially those in high frequency, show high excess kurtosis and persistence in volatility that cannot be adequately described by the generalized conditional heteroscedastic (GARCH) model, even with heavy-tailed innovations. Many researchers have argued that these...

This paper investigates the statistical behaviour of high-frequency index data from the Athens Stock Exchange. We find that 1min observations on the General Index of the Main Market for the three month period from 1 June 1998 to 10 September 1998 are characterised by very short run persistence...

This paper investigates the statistical behaviour of daily gold price data from 1971 to 2002. We find that the observations are characterised by short run persistence and scaling with a break point of 15 days, i.e., three working weeks. Daily returns are highly leptokurtic, with multi-period...