Clustering of volatility in variable diffusion processes
Year of publication: |
2009
|
---|---|
Authors: | Gunaratne, Gemunu H. ; Nicol, Matthew ; Seemann, Lars ; Török, Andrei |
Published in: |
Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 388.2009, 20, p. 4424-4430
|
Publisher: |
Elsevier |
Subject: | Variable diffusion processes | Clustering of volatility | Financial markets | Stochastic differential equations |
-
An Assessment of Estimates of Term Structure Models for the United States
Medeiros, Carlos I., (2011)
-
On the Estimation of Term Structure Models and An Application to the United States
(2010)
-
Currency Mismatches and Corporate Default Risk; Modeling, Measurement, and Surveillance Applications
Santos, Andre, (2006)
- More ...
-
A theory of fluctuations in stock prices
Alejandro-Quiñones, Ángel L., (2006)
-
Intraday volatility and scaling in high frequency foreign exchange markets
Seemann, Lars, (2011)
-
Intraday volatility and scaling in high frequency foreign exchange markets
Seemann, Lars, (2011)
- More ...