Gallo, Giampiero M.; Otranto, Edoardo - Dipartimento di Statistica, Informatica, Applicazioni … - 2012
Persistence and occasional abrupt changes in the average level characterize the dynamics of high frequency based measures of volatility. Since the beginning of the 2000s, this pattern can be attributed to the dot com bubble, the quiet period of expansion of credit between 2003 and 2006 and then...