Quantifying volatility clustering in financial time series
Jie-Jun Tseng; Sai-Ping Li
| Year of publication: |
2012
|
|---|---|
| Authors: | Tseng, Jie-jun ; Li, Sai-ping |
| Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 23.2012, p. 11-19
|
| Subject: | Econophysics | Volatility clustering | Financial stylized facts | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | Finanzmarkt | Financial market | Theorie | Theory | Marktmikrostruktur | Market microstructure | Ökonophysik | ARCH-Modell | ARCH model | Börsenkurs | Share price |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009690145