Xue, Yi; Gençay, Ramazan - In: Journal of Banking & Finance 36 (2012) 3, pp. 760-773
Volatility clustering, with autocorrelations of the hyperbolic decay rate, is unquestionably one of the most important stylized facts of financial time series. This paper presents a market microstructure model that is able to generate volatility clustering with hyperbolically decaying...