Multiscale behaviour of volatility autocorrelations in a financial market
Year of publication: |
1999
|
---|---|
Authors: | Pasquini, Michele ; Serva, Maurizio |
Published in: |
Economics letters. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1765, ZDB-ID 717210-2. - Vol. 65.1999, 3, p. 275-279
|
Subject: | Kapitaleinkommen | Capital income | Börsenkurs | Share price | Volatilität | Volatility | Theorie | Theory | USA | United States | Korrelation | Correlation |
-
Evaluating "correlation breakdowns" during periods of market volatility
Loretan, Mico, (2000)
-
The factor-spline-GARCH model for high and low frequency correlations
Rangel, Jose Gonzalo, (2009)
-
Liu, Hsiang-Hsi, (2019)
- More ...
-
Multiscaling and clustering of volatility
Pasquini, Michele, (1999)
-
Indeterminacy in foreign exchange markets
Pasquini, Michele, (2000)
-
Correlations and multi-affinity in high frequency financial datasets
Baviera, Roberto, (2001)
- More ...