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Clustering of volatility
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Financial markets
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Stochastic differential equations
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Variable diffusion processes
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Gunaratne, Gemunu H.
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Nicol, Matthew
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Seemann, Lars
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Török, Andrei
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Physica A: Statistical Mechanics and its Applications
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Clustering
of
volatility
in variable diffusion processes
Gunaratne, Gemunu H.
;
Nicol, Matthew
;
Seemann, Lars
; …
- In:
Physica A: Statistical Mechanics and its Applications
388
(
2009
)
20
,
pp. 4424-4430
knowledge, this is the first case where
clustering
of
volatility
is proven analytically in a model. …
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