Zheng, Zeyu; Xiao, Rui; Shi, Haibo; Li, Guihong; Zhou, … - In: Physica A: Statistical Mechanics and its Applications 426 (2015) C, pp. 9-15
), while long-range correlations in the absolute of price changes (volatility). Further, detrended fluctuation analysis (DFA …-law autocorrelations in the volatility that quantify risk, and found that they decay much more slowly than the autocorrelation of return … price of EUA. Finally we modeled the long-range volatility time series of EUA with a particular version of the GARCH process …