Clustering of volatility as a multiscale phenomenon

• 1 June 2000
• journal article
• Published by Springer Nature in Zeitschrift für Physik B Condensed Matter
• Vol. 16  (1) , 195-201
• https://doi.org/10.1007/s100510070265

Abstract

Keywords

• INDEXATION
• FINANCIAL MARKET
• STOCHASTIC PROCESS
• PROBABILITY THEORY
• POWER LAW

All Related Versions

• Version 1, 1999-03-22, ArXiv
• Version 2, 1999-04-07, ArXiv