Volatilities of Different Time Resolutions : Analyzing the Dynamics of Market Components

The heterogeneous market states that the diversity of actors causes different behaviors of volatilities of different time resolutions. A lagged correlation study reveals that statistical volatility defined over a coarse time grid significantly predicts volatility defined over a fine grid. This empirical fact is not explained by conventional theories and models

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Year of publication:	[1999]
Authors:	Müller, Ulrich A.
Other Persons:	Dacorogna, Michel M. (contributor) ; Dave, Rakhal (contributor) ; Olsen, Richard B. (contributor) ; Pictet, Olivier V. (contributor) ; von Weizsäcker, Jakob (contributor)
Publisher:	[1999]: [S.l.] : SSRN
Description of contents:	Abstract [papers.ssrn.com]

Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Notes:	Volltext nicht verfügbar
Classification:	G10 - General Financial Markets. General
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012790029