Time-scale effects on the gain-loss asymmetry in stock indices.

The gain-loss asymmetry, observed in the inverse statistics of stock indices is present for logarithmic return levels that are over 2%, and it is the result of the non-Pearson-type autocorrelations in the index. These non-Pearson-type correlations can be viewed also as functionally dependent daily volatilities, extending for a finite time interval. A generalized time-window shuffling method is used to show the existence of such autocorrelations.