Cipollini, Fabrizio; Engle, Robert F.; Gallo, Giampiero M. - Dipartimento di Statistica, Informatica, Applicazioni … - 2009
, durations, realized volatility, daily range, and so on) which exhibit clustering and can be modeled as the product of a vector …, number of trades and realized volatility reveals empirical support for a dynamically interdependent pattern of relationships …