Extreme times for volatility processes.

  title={Extreme times for volatility processes.},
  author={Jaume Masoliver and Josep Perell{\'o}},
  journal={Physical review. E, Statistical, nonlinear, and soft matter physics},
  volume={75 4 Pt 2},
Extreme times techniques, generally applied to nonequilibrium statistical mechanical processes, are also useful for a better understanding of financial markets. We present a detailed study on the mean first-passage time for the volatility of return time series. The empirical results extracted from daily data of major indices seem to follow the same law… CONTINUE READING