Indicatori tecnici e volatilità di serie storiche finanziarie

G. M. Gallo & B. Pacini
The econometric analysis of financial markets has recently focussed on the effects of possible non-linearities in the returns time series for the market efficiency hypothesis. In fact, one of the empirical regularities next to the lack of autocorrelation in the returns is the time dependence in positive-valued non-linear functions of the returns themselves. The lack of independence in the returns signals that there exists a structure which calls for deeper economic interpretation and statistical analysis....