The Clustering of Extreme Movements: Stock Prices and the Weather
Year of publication: |
2009-02
|
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Authors: | Malkiel, Burton G. ; Saha, Atanu ; Grecu, Alex |
Institutions: | Griswold Center for Economic Policy Studies, Department of Economics |
Subject: | Volatility clustering | duration analysis | portfolio strategy |
Series: | |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Number 1162 |
Classification: | C01 - Econometrics ; E44 - Financial Markets and the Macroeconomy ; E37 - Forecasting and Simulation ; G10 - General Financial Markets. General |
Source: |
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The Clustering of Extreme Movements: Stock Prices and the Weather
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The Clustering of Extreme Movements: Stock Prices and the Weather
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