Power law and its transition in the slow convergence to a Gaussian in the S&P500 index

Ken Kiyono (), Zbigniew R. Struzik () and Yoshiharu Yamamoto ()
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Ken Kiyono: The University of Tokyo
Zbigniew R. Struzik: The University of Tokyo
Yoshiharu Yamamoto: The University of Tokyo

A chapter in Practical Fruits of Econophysics, 2006, pp 67-71 from Springer

Keywords: Stochastic Volatility Model; Stock Price Change; Crash Date; Local Standard Deviation; Local Temporal Variation (search for similar items in EconPapers)
Date: 2006
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-4-431-28915-9_11

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DOI: 10.1007/4-431-28915-1_11

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