Search Results - subject:"volatility clustering"

He, Xue-zhong; Li, Kai; Wang, Chuncheng - 2015

Persistent link: https://www.econbiz.de/10011777504

Yamamoto, Ryuichi - In: Macroeconomic dynamics 23 (2019) 5, pp. 1757-1792

Persistent link: https://www.econbiz.de/10012127237

Sen, Rituparna; Subramaniam, Manavathi - In: Asia-Pacific financial markets 26 (2019) 4, pp. 479-493

Persistent link: https://www.econbiz.de/10012309816

Verma, Anshul; Buonocore, R. J.; Di Matteo, Tiziana - In: Quantitative finance 19 (2019) 6, pp. 981-996

Persistent link: https://www.econbiz.de/10012194736

Krasnosselski, Nikolai; Cremers, Heinz; Sanddorf, Walter - 2014

GARCH models which capture volatility clustering and, therefore, are appropriate to analyse financial market data. Models …

Persistent link: https://www.econbiz.de/10010331352

Alonso C., Julio César; Torres, Giselle - In: Journal of Economics, Finance and Administrative Science 19 (2014) 36, pp. 45-54

market; II) heavy tails of the distribution; III) aggregational Gaussianity; IV) volatility clustering and V) Taylor effect …

Persistent link: https://www.econbiz.de/10011859360

Ning, Cathy Q.; Xu, Dinghai; Wirjanto, Tony S. - 2014

Persistent link: https://www.econbiz.de/10011382186

Alonso, Julio; Torres, Giselle - In: Journal of economics, finance & administrative science 19 (2014) 36, pp. 45-54

market; II) heavy tails of the distribution; III) aggregational Gaussianity; IV) volatility clustering and V) Taylor effect …

Persistent link: https://www.econbiz.de/10011872477

Krasnosselski, Nikolai; Cremers, Heinz; Sanddorf, Walter - Frankfurt School of Finance and Management - 2014

GARCH models which capture volatility clustering and, therefore, are appropriate to analyse financial market data. Models …

Persistent link: https://www.econbiz.de/10010985133

Zhang, Wei; Wang, Pengfei; Li, Xiao; Shen, Dehua - In: Applied economics 50 (2018) 55, pp. 5950-5965

Persistent link: https://www.econbiz.de/10012062951

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