distribution to be disrupted, and that the Shanghai stock index has little volatility clustering. In contrast, under normality of … volatility clustering is a little higher. …

consequences such taxes could have on markets. Here we examine how “stylized facts”, namely fat tails and volatility clustering … and volatility clustering is strongest in tax havens. When an encompassing financial transaction tax is levied, stylized …

A quantitative method is introduced in this work to quantify and compare the volatility clustering behavior among …

Volatility clustering, with autocorrelations of the hyperbolic decay rate, is unquestionably one of the most important … stylized facts of financial time series. This paper presents a market microstructure model that is able to generate volatility … clustering with hyperbolically decaying autocorrelations via traders with multiple trading frequencies, using Bayesian …

markets. There has been empirical evidence of volatility clustering, contrary to findings in previous studies. Each market …